A causal test on the relations among selected stock returns, 91-day t-bill interest rates, and inflation: An application of Granger causality (1995-1999)
Date of Publication
2000
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Commerce Major in Management of Financial Institutions
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Abstract/Summary
The primary concern of this study is to examine the causal relation between the selected economic indicators namely the variable Stock Returns, Inflation rates and 91-day treasury bill Interest rates for the Philippines. The exercise used a causality model made by C.W. Granger to jointly examine the relations of these variables. Granger causality test was performed to analyze the nature of the feedback relationships between the various pairs of variables.
The results of the Granger Causality test suggest that the past data of 91-day Treasury Bill Interest rate has predictive power over the future values of Inflation. And that, Inflation has a predictive power over the Stock returns of banks and oil.
Abstract Format
html
Language
English
Format
Accession Number
TU10206
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
45 numb. leaves
Recommended Citation
Alonzo, M. B., Chua, C. L., Cu, M. B., & Francisco, H. C. (2000). A causal test on the relations among selected stock returns, 91-day t-bill interest rates, and inflation: An application of Granger causality (1995-1999). Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/17049
