Journal of Organisation and Human Behaviour

2014 | Volume 3 | Issue Issue 4

Measuring Granger Casual Relationship between the Exchange Rates of Indian and SriLankan Rupees against the U.S. Dollar

1. Tarsem Lal – Assistant Professor, P.g. Department Of Commerce, University Of Jammu (j&k) India.

Received
02-Feb-2015 		Accepted
- 		Published
02-Feb-2015
Abstract
The present study is undertaken to find out whether there exists any Granger Casual relationship between the exchange rates of Indian rupees (Indr) and Sri Lankan rupees (Slknr) against the U.S. dollar. To accomplish the objectives of the study secondary data have been collected on daily basis and run from 3rd of Jan. 2000 to 20th June 2014. Standard econometrics techniques like ADF unit root test, VAR model and Granger Casualty Test have been applied to test the Granger Casual relationship of Indian and Sri Lankan rupees against the U.S. dollar. The results of the study show very little evidence of casual relationship between the exchange rates of two currencies against the U.S. dollar.
Keywords Granger Casualty, VAR, Unit Root, ADF, U.S. Dollar, Exchange Rates
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