A univariate estimation of the Philippine’s exchange rate

Abstract

This study aims to forecast the Exchange Rate of the Philippines for five years starting from 2016 to 2020, and determine which among Inflation Rate, Purchasing Power of Peso, Interest Rate, Exports, Imports, and Balance of Payments is a significant factor that can influence Exchange Rate. The researchers used the monthly data of the variables starting from January 1999 to December 2015, which were gathered from Bangko Sentral ng Pilipinas with a total of 204 observations. In forecasting the dependent variable, the researchers used the Box-Jenkins Methodology. The researchers also examined the relationship between the variables using the Pairwise Granger Causality Testand Johansen Cointegration Test. Stepwise Multiple Linear Regression was also performed to determine the significant factors that can actually predict the Exchange Rate.

Keywords: Box-Jenkins Methodology; Exchange Rate; Paired t-test; GrangerCausuality; Johansen Cointegration Test; Regression.