Macroprudential stress-testing of the Philippine, Thai, and Hong Kong banking systems in response to global economic conjunctures

Date of Publication

2013

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Applied Economics

College

Ramon V. Del Rosario College of Business

Department/Unit

Economics

Thesis Adviser

Marvin F. Castell

Defense Panel Member

Myrna S. Austria
Mariel Monica R. Sauler

Abstract/Summary

Volatility in the global market has affected the financial stability of an economy, which inevitably led to the advancement of supervisory methods in order to check and monitor the resiliency of countries to financial instability. One of these methods is macroprudential monitoring- an approach that analyses responses of key financial soundness indicators (FSIs) to shocks in macroeconomic variables. Using a Vector Autoregressive (VAR) model, this study focuses on assessing the impacts of macroeconomic variables directly affected by trade and financial flows to selected FSIs indicative of capital adequacy and asset quality. Philippines is compared with Hong Kong, S.A.R,. (henceforth, Hong Kong) and Thailand, which are two other East Asian economies, to check the degree of resiliency and efficiency of banking regulation via simulated shocks. Simulated isolated shocks are imposed as stress tests on selected macroeconomic indicators to assess system-wide resiliency. Quarterly (1999Q1-2012Q4) data from the Asian Development Bank (ADB), International Monetary Fund (IMF), Bangko Sentral ng Pilipinas (BSP) and Hong Kong Monetary Authority (HKMA) are used in this study. Results show that only the financial systems of the Philippines and Thailand in terms of capital adequacy ratio (CAR) are significantly affected by shocks from either exports or FDI, while Hong Kong remains indifferent against these isolated shocks.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU20037

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

161 leaves ; 28 cm.

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