| No | Author / Title / Abstract |
| 1. | Author: Dr. Sergio CAO
Designation: BSP-UP Centennial Professor of Accounting
Title: Basel III and Risk Mitigation in the Banking Sector
Abstract: The paper discusses Basel III. It explains the general principles of the new set of rules and the changes in comparison with Basel II. It also includes a discussion on the likely effects of the new rules on the banking sector and possible effects on the economy.
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| 2. | Author: Dr. Vivien SUPANGCO
Designation: BSP-UP Centennial Professor of Business Administration
Title: Organizational and Individual Determinants of Career Success
Abstract: This paper identifies the factors that affect objective and subjective measures of career success. Objective measures include total compensation and rank level from the company president. Subjective measure is career satisfaction. The sample consists of students in the MBA program of the University of the Philippines.
Both organizational and individual factors influence career success. However, the different measures of career success have different determinants, and these three measures of career success are not correlated.
One consistent finding in studies on career success using Philippine sample is that gender did not explain variation in total compensation, number of levels from company president, and career satisfaction. These null results have several implications. First, there exists income and status parity between female and male MBA students. Second, it challenges the generalizability of findings on gender differential in income, status, and career satisfaction common in studies based on samples from the United States and Europe.
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| 3. | Author: Dr. Joel YU
Designation: BSP-UP Centennial Professor of Finance
Title: Forecasting Exchange Rates in Stable and Turbulent Times: The Case of the Philippine Peso–US Dollar Rate
Abstract: This paper evaluates the short–term predictive accuracy of empirical models of the Philippine Peso to US dollar rate. Out–of–sample forecasts were generated from alternative models in the period 2006–2010, which includes sub–periods of relative stability and turbulence. The models were evaluated using mean absolute error (MAE) and mean square error (MSE). Using the Diebold–Mariano statistic, tests were made to determine whether the predictive accuracy of an empirical model is significantly different from that of a random walk model.
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| 4. | Author: Dr. Felipe MEDALLA
Designation: BSP-UP Centennial Professor of Money and Banking
Title: Financing the Aquino Administration’s Fiscal Program: Better Tax Administration and New Taxes?
Abstract: President Aquino promised to improve infrastructure social services and increase pro–poor spending without imposing new taxes. This will be very hard to accomplish. While it is important to improve tax administration, it may not be enough. The tax system has been eroded by (a) the effects of inflation on excise taxes, which have not been adequately adjusted for inflation; (b) reductions in tariffs due to our free trade agreements and trade liberalization policies; (c) negative effects of global crises on corporate profits; and (d) new revenue–losing laws. The effects of (a) to (d) are so large that the improvements in tax administration cannot restore the revenue loss, even under the most optimistic scenarios. It may be necessary to increase excise taxes and rationalize fiscal incentives.
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| 5. | Author: Dr. Lisa BERSALES
Designation: BSP Sterling Professor of Government and Official Statistics
Title: Length of a Time Series for Seasonal Adjustment: Some Empirical Experiments
Abstract: Seasonal adjustment using X11 and its variants is suggested for 7 to 15 years of data. This is meant to address changes in the structure of the time series. Philippine time series are good candidates for this practice since they usually exhibit frequent changes in patterns. Empirical validation of the suggested length of series is done for seasonal ARMA processes. Different quarterly series were simulated for the following situations and seasonal adjustment was done for various lengths of time series: (1) processes without any structural change; (2) processes with abrupt permanent change in structure; and (3) processes with gradual permanent change in structure. For all types of processes, both weak and strong seasonality were considered. Evaluation of the seasonal adjustment used M–statistics of X11 and Mean Square Error of estimates of the seasonal component.
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| 6. | Author: Dr. Joselito MAGADIA
Designation: BSP-UP Centennial Professor of Statistics
Title: Confidence Interval for Expected Shortfall Using Bootstrap Methods
Abstract: Expected shortfall (ES) and Value–at–Risk (VaR) are the two most common measures of risk, most especially in the context of market risk. ES complements VaR by giving the amount of loss in case VaR is exceeded. The financial literature presents different approaches to estimate VaR. Standard statistical theory results could easily be applied to obtain standard errors for these different approaches to VaR estimation. However, the same could not be said of ES. This paper presents a class of methodologies to address the problem of estimating confidence intervals for ES in the light of these different approaches. Numerical results for a simulated ARMA(1,1)–GARCH(1,1) process and the PSE Index are included.
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| 7. | Author: Dr. Felipe MEDALLA
Designation: BSP-UP Centennial Professor of Money and Banking
Title: Enhancing Seasonal Adjustment of Philippine Time Series: Procedures under Seasonal VolatilitiesIs Philippine Economic Growth Lower and More Unequal than Indicated by Official Statistics?
Abstract: The NIA paint a consumption–led and service–sector–driven economic growth, with rising OFW remittances fueling the rise in consumption growth after the Asian Financial Crisis. The FIES, on the other hand, depicts stagnant consumption per capita during the same period. If economic growth is better reflected by the NIA than the FIES, it necessarily follows that income inequality worsened much more than depicted by the FIES (e.g., income inequality worsened much more than indicated by changes in the GINI coefficient). If the FIES is given more weight than the NIA, the economy must have grown at a slower rate than depicted by official government statistics. It is quite likely that the true picture of the Philippine economy is somewhere in between what is depicted by the NIA and FIES. This means that Philippine economic growth is both lower and more inequitable than most economic analysts think.
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