Title

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 Department

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

Print

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

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