How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis

© 2017 American Scientific Publishers All rights reserved. In a country’s overall growth and economic activity, the foreign exchange rate plays an important role in affecting both variables. This paper investigated how the exchange rate movement can be influenced by macroeconomic variables namely: i...

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Main Author: Romero, Frederick P.
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Published: Animo Repository 2017
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Online Access:https://animorepository.dlsu.edu.ph/faculty_research/3936
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Institution: De La Salle University
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spelling oai:animorepository.dlsu.edu.ph:faculty_research-49002021-07-28T01:50:26Z How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis Romero, Frederick P. © 2017 American Scientific Publishers All rights reserved. In a country’s overall growth and economic activity, the foreign exchange rate plays an important role in affecting both variables. This paper investigated how the exchange rate movement can be influenced by macroeconomic variables namely: inflation, industrial production and trade balance. Times series monthly data is collected from January 1998 to December 2014. To test the stationarity of the data, the paper utilized the Augmented Dickey Fuller (ADF) test. In addition, the study used LaGrange-Multiplier Test of ARCH Test and Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) in examining heteroscedasticity in the data used. Finally, the study used the Granger Test for Causality in calculating the long-run dynamic relationship between the macroeconomic variables and the exchange rate. The study concludes that the Philippine peso exchange rate is not influenced by the terms of inflation, trade balance and industrial production level. The research showed that there is no significant relationship between exchange rate and the macroeconomic variables for the period covered. The implication of this study suggests that policy makers on monetary policies should look at other factors aside from the macroeconomic variables used in this paper that may provide significant effect on the movement of the exchange rate in the Philippines. 2017-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/faculty_research/3936 Faculty Research Work Animo Repository Foreign exchange rates--Philippines Macroeconomics Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
topic Foreign exchange rates--Philippines
Macroeconomics
Finance and Financial Management
spellingShingle Foreign exchange rates--Philippines
Macroeconomics
Finance and Financial Management
Romero, Frederick P.
How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis
description © 2017 American Scientific Publishers All rights reserved. In a country’s overall growth and economic activity, the foreign exchange rate plays an important role in affecting both variables. This paper investigated how the exchange rate movement can be influenced by macroeconomic variables namely: inflation, industrial production and trade balance. Times series monthly data is collected from January 1998 to December 2014. To test the stationarity of the data, the paper utilized the Augmented Dickey Fuller (ADF) test. In addition, the study used LaGrange-Multiplier Test of ARCH Test and Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) in examining heteroscedasticity in the data used. Finally, the study used the Granger Test for Causality in calculating the long-run dynamic relationship between the macroeconomic variables and the exchange rate. The study concludes that the Philippine peso exchange rate is not influenced by the terms of inflation, trade balance and industrial production level. The research showed that there is no significant relationship between exchange rate and the macroeconomic variables for the period covered. The implication of this study suggests that policy makers on monetary policies should look at other factors aside from the macroeconomic variables used in this paper that may provide significant effect on the movement of the exchange rate in the Philippines.
format text
author Romero, Frederick P.
author_facet Romero, Frederick P.
author_sort Romero, Frederick P.
title How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis
title_short How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis
title_full How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis
title_fullStr How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis
title_full_unstemmed How does the Philippine peso exchange rate respond to inflation, industrial production and trade balance? A Granger causality analysis
title_sort how does the philippine peso exchange rate respond to inflation, industrial production and trade balance? a granger causality analysis
publisher Animo Repository
publishDate 2017
url https://animorepository.dlsu.edu.ph/faculty_research/3936
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