Title

The effect of the interaction of fiscal and monetary policy on the performance of the financial markets and the operating profitability of the banking industry: An economy wide analysis using structural vector autoregression (SVAR)

Date of Publication

2017

Document Type

Master's Thesis

Degree Name

Master of Science in Computational Finance

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Adviser

Rene B. Betita

Defense Panel Member

Brian C. Gozun

Abstract/Summary

The study, through the utilization of the SVAR approach, has investigated the effects of the interaction of fiscal and monetary policy on the performance of the financial markets and the operating profitability of banking industry in the Philippines. Using quarterly data of Global GDP (GGDP), Dubai Fateh Crude Oil Spot Price (OIL), Overnight RRP (ORRP), Government Spending (GOVS), Government Financing (GOVF), GDP, Inflation (INF), Loans Outstanding for Production and Consumption of Universal and Commercial Banks (CRED), PSEi Returns (STOC), Net Interest Income (NII) and Other Operating Income- Trading Related Revenue (NONI) of Universal and Commercial Banks for the period of 1Q1990-4Q2016, the findings from the study revealed that direct impact of the GOVS into the fiscal inclusive matrix system provides a net effect of +7.23 percentage point change in the credit market portfolio vis-à-vis the +3.83 percentage point change in the fiscal exclusive matrix system; the direct impact of GOVF into the fiscal inclusive matrix system provides a net effect of -4.78 percentage point change in the PSEi returns versus the -3.41 percentage point change in the fiscal exclusive matrix system; ORRP and GDP (and not GOVS and GOVF) are the statistically significant variables in net interest income which provides -3.39 and +5.64 percentage point change in net interest income; respectively; and the direct impact of GOVS into the fiscal inclusive system provides a net effect of -3.11 percentage point change in other operating income of banks.

Likewise, the results of the impulse response functions and variance decompositions of CRED, STOC, NII and NONI provided different adjustment paths and sources of error variances both in the interaction and non-interaction states.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG007843

Shelf Location

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

Physical Description

1 computer disc ; 4 3/4 in.

Keywords

Banks and banking--Philippines; Fiscal policy

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