Browsing by Author "Dy, Lauren Danielle L."
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Item Restricted Are the odds in our favor?: predicting the probability of a recession in the Philippines(2014-12-17) Atienza, Michael Angelo H.; Dy, Lauren Danielle L.; Ducanes, Geoffrey M.; Daway-Ducanes, Sarah Lynne S.In this paper, various financial variables are examined as predictors of a recession in the Philippines. Similar to Estrella and Mishkin's model for the United States and Germany, lagged term spread proved to be an important predictive variable for the annual time frame. Furthermore, the growth rate of money supply, real interest rates, inflation, and U.S. GDP growth rate exhibits predictive power. For the quarterly case, exchange rate, term spread, GDP growth rate, and foreign direct investment inflow shows predictive power. In-sample predictions for both annual and quarterly time frames show promising results for both weak and strong recession signals. Furthermore, for the quarterly case, the U.S. GDP growth rate is able to predict out-of-sample results with weak signals. In the annual case, out-of-sample predictions were not possible because of the lack of incidence of recessions in the dataset.