Application of the Vector Autoregressive with Exogenous Variable (VARX) framework in modeling and forecasting the growth rate of regular-milled rice price in the Philippines
The aim of the study was to predict the monthly growth rate of Regular-Milled rice (RMR) price in the Philippines through a Vector Autoregressive with Exogenous Variable (VARX) Model. The Philippine Real Effective Exchange Rate (REER) difference and the growth rates of the Overseas Filipino Workers’...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Animo Repository
2022
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| 在線閱讀: | https://animorepository.dlsu.edu.ph/etdb_math/14 https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1014&context=etdb_math |
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| 機構: | De La Salle University |
| 語言: | English |
| 總結: | The aim of the study was to predict the monthly growth rate of Regular-Milled rice (RMR) price in the Philippines through a Vector Autoregressive with Exogenous Variable (VARX) Model. The Philippine Real Effective Exchange Rate (REER) difference and the growth rates of the Overseas Filipino Workers’ (OFW) Remittances and the retail price per kilogram of RMR were its endogenous variables, while the growth rates of the climatological data, namely the amount of rainfall, minimum temperature, and maximum temperature, acted as the exogenous variables. Monthly values from January 2012 to December 2020 were used to build the best-fit VARX(2,1) model, which was further simplified by dropping parameters that have t-ratios less than 1. Additionally, the interaction of the RMR Price growth rate with the REER difference posed a general decline, while the response of RMR price growth rate to a shocked OFW Remittances growth rate showed a combination of upward and downward patterns, both across the next twelve months. All RMSE and MAE value estimates were sufficient proof to claim that the VARX model is reliable in providing accurate forecasts. |
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