Measuring the effects of the Philippine international reserves and remittances to the volatility of the Philippine peso exchange rate: A test of causation between variables

• Main Author: Romero, Frederick P.
• Format: text
• Published: Animo Repository 2016
• Subjects: Foreign exchange reserves > Philippines; Foreign exchange rates > Philippines; Emigrant remittances > Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/faculty_research/3938
• Institution: De La Salle University

This study examines the relationship between exchange rate and the macroeconomic variables namely: Philippine international reserves and remittances. The paper obtained times series data of Philippine Peso exchange rate, international reserves and remittances on a monthly basis from 1998- 2014. To check the stationary of the variables, the paper utilized the Augmented Dickey Fuller (ADF). LaGrange-Multiplier Test of ARCH Test and Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) test were used to check the heteroscedasticity in the data. Lastly, paper used the Granger Test for Causality to examine the dynamic relationship between exchange rate and the chosen economic variables. Causality between the variables used proves to be insignificant. The Granger Causality test revealed that the variables used variables move in independent direction. © 2016 International Information Institute.