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  1. Yangon University of Economics
  1. Yangon University of Economics
  2. Master of Applied Statistics (MAS)

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/8494
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52974e76-e480-4c8d-9057-647baf8eb650
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Myo Myo Nyi Nyi Zin, MAS-43, 3rd Batch.pdf (633 KB)
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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.
Thesis/dissertations
Yangon University of Economics
Dr. Sanda Thein
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