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Now showing 1 - 6 of 6
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    Tropical cyclones and their impact on stock market returns and volatility
    (2023-07-03) De Guzman, Christian Louis G.; Fabula, Jewel Kyle M.; Monsod, Toby Melissa C.
    The Philippines is one of the world’s most disaster-prone countries. These disasters have an impact on the economy, which may influence the stock market returns and volatility. We used an ARMAX-EGARCH model to analyze the impact of tropical cyclones on the Philippine Stock Exchange Index (PSEi) and some sectoral indices (Financial, Industrial, Property, Mining and Oil). As an extended analysis, we also control for the disaster location in 1-day, 5-day, 10-day, and 15-day event windows. The results show that tropical cyclones that affected Visayas have significant same-day negative impacts on the average market returns. In contrast, tropical cyclones that affected Mindanao have significant same-day positive impacts on the average market returns. Meanwhile, the effect of tropical cyclones on sectoral market returns and volatility can be positive, negative, or no effect, depending on affected regions of the disaster, market sector considered, or event window being analyzed. Overall, our results indicate that location and time are salient factors in assessing the impact of tropical cyclones on the stock market as well as the sector in which the analysis is performed.
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    The impact of natural disasters on Philippine stock market: an analysis utilizing VAR and GARCH
    (2023-07) Cao, Cayenne T.; Catap, Diana Louise A.; Jandoc, Karl Robert L.
    This study investigates the relationships between natural disasters and the Philippine stock market through the utilization of Vector Autoregression (VAR) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. Through the GARCH analysis, we found that floods and droughts both have a negative impact on the Industrials, Property, Services, and Mining and Oil Sectors. The VAR model shows that drought has a negative impact on the closing price of the mining and oil sector and storms have a positive effect on the closing price of the property sector. As for the natural disaster’s effects on Macroeconomic factors, our analysis shows that volcanic activity has a negative relationship with the exchange rate and so does drought with the inflation rate. Our results suggest that any financial decisions to be made that account for the volatility effects of natural disasters may be done in consideration of the factors that have significant impacts on closing prices.
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    The impact of meteorological disasters on price inflation: the Philippine case
    (2017-05) Antonio, Abigail Kyla D. ; Aranzaso, Jhio D. ; Ravago, Majah-Leah V.
    Due to its geographical location, the Philippines is vulnerable to the risks brought about by typhoons that are frequently experienced in the area. We aimed to shed light into the impact of meteorological disasters in the country, specifically on the Philippine financial market. Using data on the price inflation of rice, corn, meat, and fish from 2009 to 2015, we applied the Autoregressive Distributed Lags (ARDL) Model to determine the impact of disasters on price inflation. The study found that meteorological disasters have a generally upward impact on price inflation, particularly observed after 1 or more months. If not addressed, the increase in the prices of these goods may lead to a decrease in the purchasing power of the consumers who may have very well been affected by the disaster themselves.
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    When typhoon strike: the impact of natural disasters on the saving behavior of households in Philippines
    (2016-12) Detecio, Danica ; Quitano, Angeline SD ; Debuque-Gonzales, Margarita
    While macroeconomic evidence suggests that natural disasters generally weaken the economy, there still is a lot of debate over how these environmental catastrophes might impact savings. One approach through which the indefinite relationship between savings and natural disasters could be explored is by looking at how individuals adjust their saving behavior after an uncertainty shock. Certain hypotheses and assumptions in behavioral economics offer explanations regarding the apparent consumption and saving patterns observed in individuals in the presence of risk and uncertainty. In this paper, we test the permanent income–life cycle hypothesis and the precautionary motive assumption in the context of a developing nation which predict that the risk and uncertainty brought by natural disasters will stimulate individuals to save. Household data and typhoon data were analysed using fixed and random effects regression in order to examine the relationship between household saving behavior and natural disasters. While the results were not as significant as what was projected, the link between the variables of interest, nevertheless, provided further evidence on the positive correlation between natural disasters and household savings.
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    Economic impact of earthquakes and volcanic eruptions to households: evidence from the Philippine
    (2017-12-20) Mangugan, Marichelle Faye G.; Sevilla, Brixter Q. ; Jandoc, Karl Robert L.
    Considering the geographic state of the Philippines, and its high poverty incidence, it becomes more exposed and vulnerable to disaster shocks. This high risk of being a victim of disaster caused by natural hazards results to a high probability of a reduction in the welfare of households. The study focuses on disaster shocks - earthquakes and volcanic eruption, and its effects on households. We also identify the relevance of risk reduction and coping strategies to welfare. Outcomes of both shocks show adverse effects to households. Insurance, house quality, and education affects expenditures positively which could suggest long-run outcomes to welfare. We end by emphasizing furtherance of ex-ante strategies through investment policies.
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    Challenging the great equalizer: a study on the impact of naturl disasters on income inequality across the regions in the Philippines
    (2018-12) Ceniza, Samantha Yzavelle H. ; Sanchez, Ivana Jeremy F. ; Daway-Ducanes, Sarah Lynne S.
    The Philippines is often at high risk from natural disasters. Indeed, the data show that there is an increasing trend in the number and magnitude of disasters in the country in the last century. While, it is often argued that natural disasters are the “great equalizers” of mankind as they affect everyone equally, there is evidence that disasters may disproportionately adversely affect the poor, and may even result in a worsening of income inequality. As such, this paper focuses on investigating the relationship between natural disasters and income inequality in the Philippines. Using panel data analyses on a dataset of 17 regions spanning ten three-year intervals from 1985 to 2015, our results show that the presence of a natural disaster is positively associated with income inequality, measured by the gini coefficient. However, when we decompose by type, we find evidence that Geophysical, Meteorological, and Hydrological disasters increase income inequality but Climatological disasters tend to reduce income inequality. There is also evidence that disasters have short-term (3 years) and long-term (6 years) effects on income inequality. Furthermore, we decompose the gini coefficient of the mean per capita income by income source to verify how inequality by specific income source associates with natural disasters and estimation results reveal that disasters decrease Remittance inequality – providing additional evidence for the “buffering effect” of remittances – but increase other income sources’ inequality (i.e. Agricultural, Non- Agricultural, Entrepreneurial, Other Income).