Interest rate movements and inflation risk in the Philippines / Alma Dela Cruz, David Dickinson
Series: Philippine Management Review. 18, page 37-42 Publication details: 2011Content type:- text
- unmediated
- volume
Current library | Call number | Status | Date due | Barcode |
---|---|---|---|---|
Manila Tytana Colleges Library REFERENCE SECTION | Bound (Browse shelf(Opens below)) | Not For Loan |
This article examines the role of inflation risk in the determination of interest rate movements in the Philippines. The analysis proceeds by first estimating a measure of inflation risk that is analytically derived from the consumption-based capital asset pricing model (CCAPM). This inflation risk measure, the covariance of purchasing power growth and consumption growth, is estimated using a multivariate GARCH method on quarterly Philippine data from 1986 to 2005. The estimated inflation risk series is then used in a CCAPM-based interest rate model to help explain interest rate movements in the Philippines.
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