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Analysing the Effects of Foreign Direct Investments to the Movements of the Philippine Peso Exchange Rate: A Granger Causality Test between Variables
GSTF Journal on Business Review
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| Title |
Analysing the Effects of Foreign Direct Investments to the Movements of the Philippine Peso Exchange Rate: A Granger Causality Test between Variables
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| Creator |
Romero, Frederick P.
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| Description |
The purpose of this paper is to analyze the role ofPhilippine exchange rate in explaining the movement of theForeign Direct Investments (FDI) in the Philippines. The studyused time series monthly data of the Philippine FDIs and pesoexchange rate from January 2005 to December 2014. AugmentedDickey Fuller (ADF) test was used in order to test the stationarityof the data. To examine the heteroscedasticity in the data, thepaper utilized the LaGrange-Multiplier Test of ARCH Test andExponential Generalized Autoregressive ConditionalHeteroskedasticity (EGARCH). Finally, the Granger Test forCausality was used to determine if the foreign direct investmentsand exchange rate have long-run dynamic relationship duringthe period covered. The results showed that there is no significantrelationship between exchange rate and FDI. The Philippineexchange rate does not Granger caused the volatility of theforeign direct investments, and vice versa. This implies that otherPhilippine economic variables, excluding FDIs, may influence thevolatility in exchange rate. Also, it can be suggested that theexchange rate movement does not attract FDIs, thus, authoritiesshould look at other factors in managing the levels of FDIs andhow it can be increased. |
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| Publisher |
GSTF Journal on Business Review (GBR)
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| Date |
2018-01-03
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://dl6.globalstf.org/index.php/gbr/article/view/859
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| Source |
GSTF Journal on Business Review (GBR); Vol 4 No 3 (2016): GSTF Journal on Business Review (GBR)
2251-2888 2251-2888 |
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| Language |
eng
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| Relation |
http://dl6.globalstf.org/index.php/gbr/article/view/859/795
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| Rights |
Copyright (c) 2016 GSTF Journal on Business Review (GBR)
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