논문
SCOPUS KCI등재
학술저널
The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel
간행물 정보
- 한국유통과학회
- The Journal of Asian Finance, Economics and Business(JAFEB)
- Vol. 7 No.10
-
2020.10543 - 553 (11 pages)
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초록
This paper examines the effect of COVID-19 pandemic on the Philippine stock exchange, peso-dollar rate and retail price of diesel using robust least squares regression and vector autoregression (VAR). The robust least squares regression using MM-estimation method concluded that COVID-19 daily infection has negative and statistically significant effect on the Philippine stock exchange index, pesodollar exchange rate and retail pump price of diesel. This is consistent with the results of correlation diagnostics. As for the VAR model, the lag values of the independent variable disclose significance in explaining the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. Moreover, in the short run, the impulse response function confirmed relative effect of COVID-19 daily infections and the variance decomposition divulge that COVID-19 daily infections have accounted for only minor portion in explaining fluctuations of the Philippine stock exchange index, peso-dollar exchange and retail pump price of diesel. In the long term, the influence levels off. The Granger causality test suggests that COVID-19 daily infections cause changes in the Philippine stock exchange index and peso-dollar exchange rate in the short run. However, COVID-19 infection has no causal link with retail pump price of diesel.
목차
1. Introduction
2. Literature Review
3. Research Methodology
4. Results and Discussion
5. Conclusions
References
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