Title

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

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Document Type

Article

Source Title

Information (Japan)

Volume

19

Issue

18A

First Page

3095

Last Page

3100

Publication Date

8-1-2016

Abstract

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.

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Disciplines

Finance and Financial Management

Keywords

Foreign exchange reserves--Philippines; Foreign exchange rates--Philippines; Emigrant remittances--Philippines

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