The Impact of PHP Exchange Rate Movement on Export Levels from 2005 - 2014: The Case of the Philippines

Abstract

This paper explores the effects of export level
movements to the PHP exchange rate volatility for the period
2005-2014. These two variables have been used by various
analysts, investors, regulators and policy-makers as important
variables in explaining the economy of countries. The paper used
historical monthly time series of PHP exchange rate and export
levels in the Philippines from the period January 2005 up to
December 2014. Stationary test and differencing methods have
been done to address the stationarity issues of time series data.
The study employed the LaGrange-Multiplier Test of ARCH Test
and the Exponential Generalized Autoregressive Conditional
Heteroskedasticity (EGARCH) to test the variables
heteroskedasticity and the Granger Test for Causality in order to
test the variables' causation. The results shows that, the export
level has no significant effects on the PHP exchange rate, and vice
versa. The historical movement of the Philippine export level has
no significant causal effect on the movement of PHP exchange
rate, and vice versa. The result of this study implies that the
appreciation or depreciation of the Philippine peso does not
provide any benefits or adverse effects on the export level of the
Philippines and the increased or decreased level of export levels is
not an important function in the determination of the PHP
exchange rate.