MERAL Myanmar Education Research and Learning Portal
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Cointegration and Causal Relationship Between Gold Price and Exchange Rate in Myanmar (2011-2022) (Myo Nyi Nyi Zin, 2022)
https://meral.edu.mm/records/8494
https://meral.edu.mm/records/8494d5d92cb5-fd36-4763-82be-7d8c5be93769
52974e76-e480-4c8d-9057-647baf8eb650
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| Title | ||||||
| Title | Cointegration and Causal Relationship Between Gold Price and Exchange Rate in Myanmar (2011-2022) (Myo Nyi Nyi Zin, 2022) | |||||
| Language | en | |||||
| Publication date | 2022-10-01 | |||||
| Authors | ||||||
| Myo Nyi Nyi Zin | ||||||
| Description | ||||||
| The main objective of the study is to analyze the cointegration and causal relationship between gold price and exchange rate in Myanmar. This study used monthly gold price and exchange rate data obtained from the Selected Monthly Economic Indicators; Central Statistical Organization of Myanmar for a period of 10 years from January 2011 to December 2020 with 120 observations. The techniques of time series econometrics such as unit root tests, Vector Autoregressive lag length of the model, Johansen cointegration test, and Granger causality test are used to analyze the cointegration and causal relationship between among the variables. The results of descriptive statistics revealed that the highest gold price and exchange rate occur in 2020 December and 2017 November. Additionally, the lowest gold price and exchange rate occur in 2011 June and August. Furthermore, the unit root test is used to check whether the exchange rate and gold price are stationary or not. Then, it observed that both of the data series are stationary at first difference. In addition to, the results of Johansen cointegration test discovered that the two variables have long run relationship. Therefore, in this study observed that the results of Granger causality test exhibit a unidirectional causal relationship between gold price and exchange rate in Myanmar. This study found that the changes in the gold price is impacted by the fluctuations of exchange rate in Myanmar. |
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| Thesis/dissertations | ||||||
| Yangon University of Economics | ||||||
| Dr. Sanda Thein | ||||||