Date of Publication
2025
Document Type
Master's Thesis
Degree Name
Master of Science in Computational Finance
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management Department
Honor/Award
N/A
Thesis Advisor
Ahmed N. Y. Meandahawi
Defense Panel Chair
Tomas S. Tiu
Defense Panel Member
John Paul S. Tanyag
Tyrone Panzer L.Chan Pao
Abstract (English)
This study investigates the sensitivity of the Philippine Stock Exchange Financial Index (PSEFI) to macroeconomic fluctuations from 2009 to 2024. Employing autoregressive distributed lag (ARDL) and nonlinear ARDL (NARDL) specifications, complemented by bounds cointegration tests, impulse response functions, variance decomposition, and structural‐break diagnostics, the analysis evaluates the roles of money supply, consumer price index, exchange rate, short- and long-term interest rates, overseas remittances, and the volatility index, with explicit attention to the European sovereign debt crisis and the COVID-19 shock. Results indicate robust long-run cointegrating relationships between the PSEFI and the macroeconomic covariates across pre-pandemic and pandemic regimes. In the short run, index behavior is regime-dependent: prior to the pandemic, the exchange rate, long-term interest rates, and CPI exhibit statistically significant effects; during the pandemic, the exchange rate and long-term rates remain influential while remittances gain salience in dynamic responses, suggesting a buffering role amid external disruption. Model comparison shows that, despite the NARDL’s superiority in-sample explanatory power for some Philippine equity indices, the more parsimonious ARDL specification offers comparable out-of-sample predictive performance for the PSEFI. Policy- and practice-oriented implications emphasize monitoring exchange-rate dynamics and the yield curve, and incorporating scenario-based stress testing to manage macro-financial exposure. The findings extend empirical evidence on macro-financial transmission in an emerging market and motivate nonlinear, regime-aware modeling in future sectoral analyses.
Keywords: Philippine Financial Index, ARDL–NARDL, exchange rate, interest rates, remittances
Abstract Format
html
Abstract (Filipino)
Sinusuri ng pag-aaral na ito ang pagiging sensitibo ng Philippine Stock Exchange Financial Index (PSEFI) sa paggalaw ng mga makroekonomikong baryabol mula 2009 hanggang 2024. Gumamit ito ng mga modelong autoregressive distributed lag (ARDL) at nonlinear ARDL (NARDL), kasama ang bounds cointegration tests, impulse response functions, variance decomposition, at structural-break diagnostics, upang suriin ang papel ng money supply, consumer price index (CPI), exchange rate, short-term at long-term interest rates, overseas remittances, at volatility index, na may espesyal na pansin sa krisis sa pampamahalaang utang ng Europa at sa epekto ng COVID-19. Ipinapakita ng mga resulta na may matibay na pangmatagalang ugnayan ang PSEFI at mga makroekonomikong baryabol sa parehong panahon, bago at sa panahon ng pandemya. Sa maikling panahon, nakadepende ang kilos ng indeks sa rehimen: bago ang pandemya, may makabuluhang epekto ang exchange rate, long-term interest rates, at CPI; samantalang sa panahon ng pandemya, nananatiling mahalaga ang exchange rate at long-term interest rates, at higit na naging prominente ang remittances sa pabago-bagong tugon ng indeks, na imumungkahi ng papel na ito bilang pananggalang laban sa mga economic shocks. Isinasalamin ng paghahambing ng mga modelo na, bagama’t mas mataas ang kakayahan ng NARDL na ipaliwanag ang halimbawang datos para sa ilang Philippine equity indeks, ang mas payak na ARDL ay nag-aalok ng halos katumbas na kalidad ng prediksyon sa labas ng halimbawang datos para sa PSEFI. Ipinapahiwatig ng mga resulta na mahalagang masusing subaybayan ang galaw ng exchange rate at yield curve, at isaalang-alang ang paggamit ng scenario-based stress testing upang mabawasan ang mga panganib-pinansyal. Sa kabuuan, nagdaragdag ang mga natuklasan sa empirikal na ebidensiya tungkol sa makro-pinansyal na transmisyon sa isang emerging market at nagmumungkahi ng paggamit ng nonlinear at rehimen-sensitibong pagmomodelo sa mga susunod na sektoral na pagsusuri.
Mga Keyword: Philippine Financial Index, ARDL–NARDL, exchange rate, interest rates, remittances
Abstract Format
html
Language
English
Format
Electronic
Keywords
Financial services industry
Recommended Citation
Tala, M. V. (2025). Assessing the sensitivity of the Philippine financial index to macroeconomic fluctuations: An empirical analysis (2009–2024). Retrieved from https://animorepository.dlsu.edu.ph/etdm_finman/20
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Embargo Period
11-2026
