Philippine financial system macrofinancial vulnerabilities: Assessing and forecasting systematic risk using LOGIT and VAR: Thesis

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

Junette A. Perez

Defense Panel Chair

Alfredo M. Santoyo

Defense Panel Member

Michael Manalang
Manuelito Co

Abstract/Summary

This paper focuses on assessing and quantifying systemic risk by constructing a model employing multivariate analysis using discrete choice models (LOGIT) for determining the best indicator of systemic events (i.e. financial friction), and vector auto regressions (VAR) for quantifying systemic risk. The study also attempts to forecast expected shortfalls in the financial system and the macroeconomy during systemic periods. In the fulfillment of the objectives of the study, macrofinancial indicators are accounted for as independent variables that signal financial distress. Lastly, this research also aims to conduct a forecast about the effects of systemic events through the integrated model. The researchers believe that the financial systems and the macroeconomy in general are interconnected networks that link one institution to another. Therefore it can be inferred that the effects of financial frictions are not solely borne by a single entity but rather by the system as a whole. Such shocks stemming from financial frictions follow a domino-effect mechanism wherein the impact is carried over several units of the financial system and the macroeconomy. The 1997 Asian financial crisis and the 2007-2009 global financial crises are alarming testaments that the financial systems are in fact interconnected. However, the damaged several economies had to endure understanding about systemic risk, especially in the Philippine setting, to mitigate the chances of crises from happening again.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU21657

Shelf Location

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

Physical Description

111, [115] leaves : illustrations

Keywords

Financial institutions--Management; Financial risk--Philippines

This document is currently not available here.

Share

COinS