Granger causality: Analyzing exchange rates and commodity prices in the selected ASEAN+3 countries
Date of Publication
2017
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Management of Financial Institutions
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Ricardo Ferdinand Basallo
Defense Panel Chair
Angelito Bala
Defense Panel Member
Catherine Kalayaan Almonte
Kristine Mae Lagdameo
Abstract/Summary
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.
Abstract Format
html
Language
English
Format
Accession Number
TU19956
Shelf Location
Archives, The Learning Commons, 12F, Henry Sy Sr. Hall
Physical Description
303, 4 leaves : illustrations ; 29 cm. + 1 computer disc ; 4 3/4 in.
Keywords
Foreign exchange rates--Southeast Asia; Prices--Southeast Asia
Recommended Citation
Colong, M., Tan, J., & Zarate, E. (2017). Granger causality: Analyzing exchange rates and commodity prices in the selected ASEAN+3 countries. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/7764