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    Do relative yield factors help predict PH-US exchange rate movements?
    (2013-10) Lim, Johannah; Ong, Sabrina; Debuque-Gonzales, Margarita
    This paper carries out an empirical analysis on the predictability of exchange rate movements using information derived from the term structure of interest rates or yield curve. The empirical proxies of three relative yield curve factors. namely level, slope, and curvature, are estimated using Philippine and US data on actively traded bonds at different maturities between 2002 and 2011. All relative yield curve factors are significant (at 99 percent significance level) in predicting exchange rate movements at 6- and 12-month horizons. Results show that a one percent increase in the relative slope factor, implying a steepening of the US yield curve relative to the Philippine yield curve, predicts annualized depreciation of the Philippine peso (or equivalently, relative flattening of the Philippine yield curve )over the next 6 and 12 months. The power of the three relative factors to predict changes in excess currency returns proves its significance also at 6- and 12-month horizons. Lastly, results show that the model performs better than random walk in forecasting exchange rate movements at 1- and 6-month horizons.
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    Kuwarta Padala: the impact of the global financial crisis in remittances
    (2011-10) Vinculado, Christian Patrick E.; Diokno, Benjamin E.
    Remittances sent by Filipino workers are important source of income for the country, which amounts for a greater part of GDP of the Exchange Exchange rate proves to be a vital factor in determining remittances, which has Meanwhile, nature. Meanwhile, migration destinations are important factors in determining remittance growth for a country in relation to economic crises. The study found out that existing migrant stock plays a key role in determining remittances. The study will Part divided into different sections: Part I is the introduction to the topic, Part II contains the research problem and Part objectives of the study, while Part III Part a discussion of related literature and Part IV specifies the empirical model used for the study.
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    Exchange rate determination : the Philippine case
    (1991-03-21) Santo Domingo, Patricia Anne; Tsai, Bernhard Aloysius Go; Natividad-Carlos, Fidelina
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    The effects of CB bills on the real effective exchange rate
    (1985-10-11) Tan, Carson; Tanbio, Carlos; Herrin, Alejandro
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    Peso depreciation: impact on trade balance
    (2001-03) Barrera, Imee Marie E.; Vicedo, Veronica V.
    This study attempts to determine the effect and measure the impact of depreciation on the trade balance. The effects on the trade balance of the monetary policy variable, government consumption, private consumption and growth rate as compared to the rest of the world are also taken into account. Government consumption and growth rate differential are insignificant in explaining the level of the trade balance. Private consumption decreases the trade balance more than any variable in the model. The monetary variable measured by the level of high-powered money and depreciation are empirically tested to have a positive effect on the trade balance. The positive relation of depreciation on the trade balance is minimal.
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    Eurodollar- asiadollar rate forecasting
    (1980-01) Manalansan, Doda; Abad, Andrea; Alonzo, Ruperto P.
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    Effects of the peso depreciation on selected Philippine export industries
    (2001-01) Pulumbarit, Maria Josefina P.; Leyes, Natalya; Miranda, Casimiro V.
    The paper focuses on the effects of the depreciation of the Philippine Peso on the country's selected export industries, mainly in the manufacturing sector. The loss of value of the currency has brought about significant economic and trade implications. Under this economic milieu, it is not only academic but also of practical importance to analyze the performance and growth of the export industry and rank them according to such aspects. This paper will attempt to evaluate the growth or deterioration of the export industry and to identify the areas or activities that suffer, survive, or flourish. The export industry will be juxtaposed with the import industry to compare them in order to emphasize the objective of this paper. Based on the discussion of the effects of the Peso depreciation, conclusions will be made in relation to the overall performance of the export business taken from the macroeconomic point of view.
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    The sensitivity of Philippine interest rates to the US federal funds rate
    (2006-10) Aquino, Ma. Felicia; Manalo, Mark Paul; Bautista, Maria Socorro Gochoco
    The sensitivity of Philippine interest rates to US interest rate hikes is the main focus of this paper. The US Federal funds rate, among others, is closely monitored by the Bangko Sentral ng Pilipinas and other central banks in the world. This is because the Federal funds rate indicates any tightness in the US banking sector that factors in US monetary policy stance. This paper investigates whether a long-run relationship exists between the different Philippine domestic interest rates and the Federal funds rate. Results from the cointegration tests suggest that there is a long-run relationship among the four domestic interest rates (ORP, ORRP, IBCLR and TBILL364) and the explanatory variables, the federal funds rate and the inflation differential. It also estimates the speed of adjustment for each domestic interest rate. Compared to Frankel's [2002] result, the results suggest that domestic interest rates adjust faster to changes in the US federal funds rate. The calculated half-life in this study is less than that calculated by Frankel and others. This leads us to the conclusion that domestic interest rates adjust more quickly to changes in the federal funds rate than to changes in the 3-month US Treasury bill rate.
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    Remittances as a determinant of the real exchange rate
    (2007-04) Abitria, Alwayne Cristopher H.; Torres, Angie
    Our study tries to find a relationship on workers' remittances on the real exchange rate. We performed time-series regression to examine the effects of remittances on the real exchange rate over a time horizon. We say that remittances do account for real exchange rate movements, both in the short-term and in the long-term. The increasing trend of remittances in the recent past make remittances account for greater changes in the real exchange rate in the near long-term, and more so in the short term. Government policy and trade openness remain as the strongest determinants of the movements of the real exchange rate. We find that trade openness appreciates the real exchange rate, in opposition to what has been proved in the literature.
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    The impact of exchange rate fluctuations on output and employment in the Philippines
    (2007-04) Francisco, Kenneth Ian A.; Mangaoang, Ralph L.; Carlos, Fidelina N.
    This paper aims to examine the impacts of exchange rate fluctuations on output and employment in the Philippines. The unit of analysis is the industry level to find out whether output and employment of industries adjusts to the fluctuations in the peso and at the same time distinguish which industries respond to exchange rate movements. We use a simple model of supply and demand that adequately captures external shocks to estimate the responses of output and employment to exchange rates. The variable for exchange rate used is the value of real effective exchange rates. Quarterly data are used in the estimations, covering two different periods- 1988:1 to 2002:1 for output and 1988:1 to 2004:1 for employment. Estimates on output and employment include six industries classified according to origin. We find that exchange rate movements have significant effects on the output of three sectors: electricity, gas and water, construction, and trade. Results in the employment regressions show that employment in manufacturing, electricity, gas and water, construction, wholesale and retail trade, transportation, storage and communications, and finance are responsive to the changes in the level of exchange rates. As the real exchange rate increases, employment in the industries is also increased.