Granger causality: Analyzing exchange rates and commodity prices in the selected ASEAN+3 countries

• Main Authors: Colong, Mathelle Eva, Tan, Jenica Anne, Zarate, Edison
• Format: text
• Language: English
• Published: Animo Repository 2017
• Subjects: Foreign exchange rates > Southeast Asia; Prices > Southeast Asia
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/7764
• Institution: De La Salle University

Studies have shown that there exists a causal relationship between the exchange rates and commodity prices, in which the direction of this relationship varies between countries. The study makes use of an autoregressive distributed lag model to determine this relationship in the selected ASEAN+3 countries using annual data, including a monthly data analysis for the Philippines from 1967-2014. The study shows that the causality between the variables differ across the selected ASEAN+3 countries in which not all commodities have a significant relationship with exchange rate. This suggests that the quantities of some of the commodities traded are not significant enough in affecting the exchange rate of the country.