Advanced

Testing Granger causality with application to Exchange rates for Swedish kronor with GB pound and US dollar

Usman, Sadia and Asafo-Adjei Sarpong, Frederick (2009)
Department of Statistics
Abstract
This thesis undertakes the Causality study with application to exchange rates for Swedish kronor (SEK) with GB pound (£) and US dollar ($) in the frame work of vector Autoregressive (VAR) model. We present the theory behind the Granger Causality, unit roots and vector auto-regression. The Augmented Dickey-Fuller test for unit roots is performed. Our data consist of three time series of daily foreign exchange rates, starting from 23rd November, 2007 to 21st May, 2008. Granger causality is a technique for determining whether one time series is useful in forecasting another. By applying this technique, we try to observe the casual relationship which exists between the three currencies of our study.
Please use this url to cite or link to this publication:
author
Usman, Sadia and Asafo-Adjei Sarpong, Frederick
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Unit Root, VAR model, Granger Causality, Statistics, operations research, programming, actuarial mathematics, Statistik, operationsanalys, programmering, aktuariematematik
language
English
id
1367113
date added to LUP
2009-03-29 00:00:00
date last changed
2010-08-03 10:52:14
@misc{1367113,
  abstract     = {This thesis undertakes the Causality study with application to exchange rates for Swedish kronor (SEK) with GB pound (£) and US dollar ($) in the frame work of vector Autoregressive (VAR) model. We present the theory behind the Granger Causality, unit roots and vector auto-regression. The Augmented Dickey-Fuller test for unit roots is performed. Our data consist of three time series of daily foreign exchange rates, starting from 23rd November, 2007 to 21st May, 2008. Granger causality is a technique for determining whether one time series is useful in forecasting another. By applying this technique, we try to observe the casual relationship which exists between the three currencies of our study.},
  author       = {Usman, Sadia and Asafo-Adjei Sarpong, Frederick},
  keyword      = {Unit Root,VAR model,Granger Causality,Statistics, operations research, programming, actuarial mathematics,Statistik, operationsanalys, programmering, aktuariematematik},
  language     = {eng},
  note         = {Student Paper},
  title        = {Testing Granger causality with application to Exchange rates for Swedish kronor with GB pound and US dollar},
  year         = {2009},
}