Bangko Sentral ng Pilipinas' participation in the foreign exchange volatility

• Main Authors: De Jesus, Reena Yu, Sy, Camille Tommei Uy, Tayag, Wilfred Adrian Mayoralgo, Tubig, Carren Joel Ramirez
• Format: text
• Language: English
• Published: Animo Repository 2013
• Subjects: Foreign exchange rates > Philippines; Central Bank of the Philippines; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/18326
• Institution: De La Salle University

This paper provides empirical evidence on the topic of the effectiveness and the impact of the Bangko Sentral ng Pilipinas participation on PHP/USD market. This is obtained using monthly measurement of different variables such as foreign exchange rates, foreign reserves, gold, foreign investments, domestic rates and PSEi for the period January 31, 2002 to May 31, 2013. This paper finds that the variables are significant in modeling exchange rate volatility. A generalized autoregressive conditional heteroskedasticity exchange rate equation is used to measure the volatlity of the exchange rate. This study finds that Bangko Sentral ng Pilipinas' participation is associated with the variables mentioned.