논문 상세보기
The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel KCI 등재 SCOPUS
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.
1. Introduction
2. Literature Review
2.1. COVID-19 Impact on Stock Markets
2.2. COVID-19 Impact on Exchange Rates
2.3. COVID-19 Impact on Oil Prices
3. Research Methodology
3.1. Robust Least Squares Regression
3.2. Vector Autoregression Model
4. Results and Discussion
4.1. Robust Least Squares Regression Results
4.2 Vector Autoregression Model Results
5. Conclusions
References
