Journal of Economics, Finance and Accounting Studies ISSN: 2709-0809 DOI: 10.32996/jefas Journal Homepage: www.al-kindipublisher.com/index.php/jefas JEFAS AL-KINDI CENTER FOR RESEARCH AND DEVELOPMENT Copyright: © 2022 the Author(s). This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC-BY) 4.0 license (https://creativecommons.org/licenses/by/4.0/). Published by Al-Kindi Centre for Research and Development, London, United Kingdom. Page | 292 | RESEARCH ARTICLE A Time-Series Analysis of Selected Economic Indicators Affecting Inflation in the Philippines: 2003-2020 Danielle Marie P. Pama 1 | Herbert L. Peliglorio 2 ✉ | Anna Corinna Pizarro-Uy 3 12 Department of Economics, University of Santo Tomas, Manila, Philippines 3 Master of Arts in Economics, University of Santo Tomas, Manila, Philippines Corresponding Author: Herbert L. Peliglorio, E-mail: herbert.peliglorio.ab@ust.edu.ph | ABSTRACT The Philippines is a country that has been experiencing a gradual rise in inflation in the past decades, and this affects the prices of goods and services, therefore decreasing the currency's purchasing power. The aim of this study is to analyze the relationship between Inflation and selected economic indicators, such as Unemployment Rate, Money Supply, Policy Rate, and Exchange Rate, based on time series quarterly data from the year 2003 to 2020 in the Philippines. This effect was investigated using the autoregressive distributed lag (ARDL) cointegration technique. The results showed that Inflation, which is the rate of increase in prices over a given period in the Philippines, has a significant positive relationship with the Policy rate in the short run. | KEYWORDS Inflation, Unemployment, Money supply, Policy rate, Exchange rate, Philippines | ARTICLE DOI: 10.32996/jefas.2022.4.2.23 1. Introduction Inflation is commonly defined as higher prices caused by rising costs in the global market, supply chain difficulties, and labor scarcity, or by increased demand, as well as the Federal Reserve's easy monetary policy and Congress's excessive expenditure. The Philippines’ annual inflation average in 2020 is 2.6 percent higher than in 2019 at 2.5 percent, and this growth rate influences the price change pace of the economy overall, according to a report from the Philippine Statistics Authority. When the prices for certain commodities impact our cost of living, economic growth can also suffer. 1.1. Background of the Study The researchers raise the question: Do other economic factors affect inflation? In the United Kingdom, the new Keynesian Phillips curve was calculated using the Kalman filter. It was discovered that the model of unobserved components calculated from projected inflation played a crucial role in understanding inflation dynamics. (Marfatia, 2018). In another case, inflation could also occur when the amount of money circulating in the economy grows faster than the economic output of a country. Zimbabwe in 2008 was in the same circumstance when their high government debt and falling economic work necessitated creating money to resolve the short-time crisis, as this printing of money resulted in hyperinflation in November of 2008. The parallel exchange rate passes through to inflation, but the official exchange rate only passes through to inflation in the long run. It also demonstrates that exchange rate volatility has a favorable and considerable long-run influence on inflation (Osabuohien et al.,2018). The ARDL and its Error-Correcting Parametrization showed a substantial long- and short-run link between GSE market results and exchange rate. The variables were examined for long memory, and it was discovered that such quality did exist in these variables, making it a desirable trait that investors may benefit from. This is because the long-run influence of inflation and currency rates on stock market returns has been established (Kwofie & Ansah, 2018). It has been established that the presence of the Fisher Effect and a unidirectional causation relationship to the interest rate from inflation exists in the Philippines. The second period documented the rapid response of interest rates to a positive standard deviation shock to inflation, and inflation accounts for a periodic average of 4.72 percent prediction error variance of interest rates in the near term. The empirical research also confirmed that the two