Status : Verified
| Personal Name | Godoy, Jorjin Familaran |
|---|---|
| Resource Title | Measuring Banking Sector's Systemic Risk Contribution and Its Relationship to Macroeconomic Indicators |
| Date Issued | April 2025 |
| Abstract | Systemic risk became a key issue during the Global Financial Crisis (GFC) of 2008 and remains a concern today. The GFC highlighted how interconnected financial systems can fail, with one institution's collapse leading to widespread economic instability. This study used a specific measure called SRISK to evaluate how much the banking sector contributes to systemic risk (SRISKBanks) during prolonged market declines. It focused on 16 Philippine banks (14 universal banks and two thrift banks) listed on the Philippine Stock Exchange. The study also examined how changes in Gross Domestic Product (GDP), unemployment rates, and the Philippine Peso exchange rate against the US Dollar (USDPHP) influence the banking sector's systemic risk. Results showed that the highest SRISKBanks values occurred in early 2009 and between 2021 and 2022, mainly due to the GFC and the COVID-19 pandemic. There was no long-term relationship between SRISKBanks and GDP growth, USDPHP, unemployment rate—only short-term effects were found. Using vector autoregression model, the study found that changes in GDP growth negatively impact the banking system's systemic risk contribution, while USDPHP and unemployment rate positively impact SRISKBanks. The variance decomposition indicates that variations in the banking sector's systemic risk is largely attributed to shocks to itself, followed by the unemployment rate, GDP growth, and USDPHP exchange rate. |
| Degree Course | Master of Statistics |
| Language | English |
| Keyword | Systemic Risk, SRISK, Vector Autoregression (VAR) Model |
| Material Type | Thesis/Dissertation |
Preliminary Pages
14.85 Mb
Category : F - Regular work, i.e., it has no patentable invention or creation, the author does not wish for personal publication, there is no confidential information.
Access Permission : Open Access