| No | Author / Title / Abstract |
| 1. | Author: Dr. Sergio S. Cao
Designation: BSP UP Centennial Professor of Accounting
Title: Credit, Credit Derivatives, and Credit Default Swaps
Abstract: Credit derivatives are financial instruments that have had tremendous impacts on capital markets by allowing the transfer and trading of credit risks. They comprise a significant percentage of the very big derivatives market. It is necessary therefore to have an understanding of these types of derivatives, their characteristics, uses, properties, and pricing. This paper discusses these about the most common types of credit derivatives. It also explains how they figured in the 2008 financial crisis and in the present situation in Greece and other European countries. There is also a discussion of credit linked deposits, credit linked notes, and other credit linked instrument.
Discussant: Dr. Gracia S. Ugut, Asian Institute of Management
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| 2. | Author: Dr. Joselito C. MAGADIA
Designation: BSP UP Centennial Professor of Statistics
Title: Risk Measures for the PSE Index Using Hidden Markov Models
Abstract: Risk measures for the PSE index are estimated using (a) an m-state normal-hidden Markov model and (b) discrete state-space stochastic models (with/out leverage) on the returns series. Backtesting procedures will be done to how well the estimates performed.
Discussant: Dr. Joel C. YU, BSP UP Centennial Professor of Finance
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| 3. | Author: Dr. Dante C. CANLAS
Designation: BSP Sterling Professor of Monetary and Banking Economics
Title: Business Fluctuations and Monetary Policy Rules in the Philippines: Lessons from the 1984-1985 Contraction
Abstract: The paper reviews recent research on macroeconomic theory of business fluctuations and its influence on monetary policy rules. It focuses on triggers to business fluctuations and the mechanisms that propagate the fluctuations once started. The Philippines is used as empirical setting. The theory’s predictions are examined using time-series data on aggregate output performance, money growth, and budget deficits of government. The paper casts a spotlight on the output contraction of 1984-1985, the longest downturn in the postwar economic history of the Philippines. The role of monetary policy and fiscal policy shocks in triggering that downturn is studied, followed by the role of subsequent macroeconomic policy adjustments that propagated the downturn. The paper points out that monetary policy rules evolved in the aftermath of the 1984-1985 downturn, culminating in the inflation-targeting rule that the monetary authority currently uses. The adoption of inflation targeting had hinged on the introduction of legislation that enabled the creation of a central bank with policy independence from the fiscal authority.
Discussant: Dr. Lawrence B. DACUYCUY, De La Salle University
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| 4. | Author: Dr. Ana Maria L. TABUNDA
Designation: BSP Sterling Professor of Government and Official Statistics
Title: Analysis of Revisions to the Quarterly GDP Growth Rate
Abstract: Estimates of the gross domestic product (GDP) are subject to revision over time; preliminary estimates are revised as more information becomes available or methodological improvements to the compilation process are introduced. This paper examines the revisions to the unadjusted real quarterly GDP series with 1985 as base year. Standard analysis based on summary statistics is performed as well as stationarity tests, Newey-West HAC-corrected t-tests and news vs noise analysis to characterize the quality of the revisions. The results of the paper indicate that, despite the rather large revisions in the period 2000Q1 to 2003Q3, GDP revisions to the first published estimates show no upward or downward bias. In addition, next-quarter, year-later revisions and final/latest revisions generally show evidence of news or a clear news signal, even when there are breaks in the series induced by methodological improvements.
Discussant: Dr. Felipe M. MEDALLA, Monetary Board Member, BSP
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| 5. | Author: Dr. Joel C. YU
Designation: BSP UP Centennial Professor of Finance
Title: Calendar Effects in Currencies: Evidence from the Philippines
Abstract: The efficient market hypothesis claims that security returns follow a random walk. While there are a lot of evidences supporting this hypothesis, there are also a host of empirical studies that show otherwise. Referred to as anomalies, these counter evidences include the calendar effects which show patterns of returns based on specific dates. This study extends the literature to examine the existence of calendar effects on exchange rates with special focus on the Philippine peso price of different currencies. It presents empirical evidence on patterns of changes in the peso values of foreign currencies. This study is relevant to Filipino households who generally have limited holdings of equity but earn income denominated in a foreign currency because of the remittances sent by overseas Filipino workers. It can establish general rules on the best time to send remittances or exchange foreign currency to Philippine peso.
Discussant: Mr. Michael M. Madrid, Bangko Sentral ng Pilipinas
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| 6. | Author: Dr. Florian A. ALBURO
Designation: BSP UP Centennial Professor of Foreign Trade
Title: Currency Wars in Contemporary Times
Abstract: This is the first part of a two-part paper exploring currency wars in contemporary times. While there has been no declaration that there are countries (or a select group) actively engaged in mutual currency exchanges, it is important to be able to determine some indicators whether they are indeed taking place. This paper attempts to (a) briefly describe the currency wars in history the prominent being associated with the Great Depression, (b) set in context recent currency “turmoil” particularly in the aftermath of the 2008 global financial crisis, (c) ask the question if we are seeing history repeating in contemporary times, (d) analyze the wider range of options to currency changes that are now more readily possible than before, and (e) assess if these are evident in immediate period after the recent global financial crisis.
Discussant: Dr. Gonzalo M. JURADO, Kalayaan College
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