Bangko Sentral ng Pilipinas' participation in the foreign exchange volatility

Date of Publication

2013

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Neriza M. Delfino

Defense Panel Member

Nero Porlas
Carlo Asuncion
Maria Victoria S. Tipon

Abstract/Summary

This paper provides empirical evidence on the topic of the effectiveness and the impact of the Bangko Sentral ng Pilipinas participation on PHP/USD market. This is obtained using monthly measurement of different variables such as foreign exchange rates, foreign reserves, gold, foreign investments, domestic rates and PSEi for the period January 31, 2002 to May 31, 2013. This paper finds that the variables are significant in modeling exchange rate volatility. A generalized autoregressive conditional heteroskedasticity exchange rate equation is used to measure the volatlity of the exchange rate. This study finds that Bangko Sentral ng Pilipinas' participation is associated with the variables mentioned.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21203

Shelf Location

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

Physical Description

i, 90 leaves

Keywords

Foreign exchange rates--Philippines; Central Bank of the Philippines

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