Dennis S Mapa - Academia.edu (original) (raw)

Papers by Dennis S Mapa

Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic ... more Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic and financial indicators are normally aggregated to match quarterly macroeconomic series such as GDP when analysed in a statistical model. However, temporal aggregation, although widely accepted, is prone to information loss. To address this issue, mixed frequency modelling was employed by using state space models with time-varying parameters. Quarter-on-quarter growth rate of GDP estimates were first treated as a monthly series with missing observation. Using Kalman filter algorithm, state space models were estimated with eleven monthly economic indicators as exogenous variables. A one-step-ahead predicted value for GDP growth rates was generated and as more indicators were included in the equation, the predicted values came closer to the actual data. Further evaluation revealed that among the group competing models, using Consumer Price Index (CPI), growth rates of PSEi, exchange rate,...

The economic growth implications due to changes in the nation’s age structure have been substanti... more The economic growth implications due to changes in the nation’s age structure have been substantial. In the course of the demographic transition, countries experience an increasing share of the working age population relative to the total population and this creates favorable effects on economic growth. The changing age structure also influences household saving rate. Household saving rate in the Philippines is one of the lowest in East Asia. This paper looks at the impact of the slow demographic transition in the Philippines on its aggregate household saving rate using panel data from the Family Income and Expenditure Survey (1985 to 2003). The econometric model is based on the augmented life cycle model and the results suggest that the country’s population dynamics play an important role in its household saving rate. The Philippines’ rapid population growth formed a big bulge at the lower portion of the age pyramid that resulted in a higher percentage of young dependents. The data...

The Philippine review of economics, 2010

Anecdotal evidence permeates accounts on the impact of the global economic crisis (GEC) on Philip... more Anecdotal evidence permeates accounts on the impact of the global economic crisis (GEC) on Philippine poverty. This study systematically assesses the evidence and recent data. It adopts a somewhat eclectic approach, applying regression and decomposition techniques to trace the GEC impact on GDP and its major components, constructing panel data from nationally representative household surveys to trace the changes in household welfare during the crisis, and combining national income accounts and household survey data to simulate the differential effects of the crisis across population groups and social divides. Empirical findings suggest that although the Philippine economy did not slide to recession during the GEC, the impact of the crisis on the economy and poverty across population groups was nonetheless severe -- and may linger for many years to come.

Philippine Journal of Development, 2007

This paper studies the relationship between population dynamics and income growth in the Philippi... more This paper studies the relationship between population dynamics and income growth in the Philippines using data from 74 provinces for the period 1985-2003. Simulation techniques were used to quantify the effect of population dynamics on the differences in income of the provinces. It also examines the robustness of the explanatory variables to determine "deep" determinants of income growth. The study shows that population variable is robustly related with growth and while it is not the sole culprit for the dismal growth performance over the years, it shows that the opportunities associated with the demographic transition are real and can provide the stimulus needed by the country.

The provincial per capita income growth in the Philippines can be considered as generally dismal ... more The provincial per capita income growth in the Philippines can be considered as generally dismal in the last three decades. In trying to investigate this phenomenon, the paper applies robustness procedures to identify variables strongly correlated with provincial income growth in the Philippines. The extreme bound analysis and Bayesian averaging of classical estimates procedures are applied to fifteen determinants of income growth from a data set consisting of 74 Philippine provinces for the period 1985 to 2003. Results show that the high level of inequality is a serious obstacle to Philippine economic growth. The study also shows that the percentage of young dependents, or those aged 0 to 14 years, over the total population also hinders the provincial income growth.

the activity is to provide technical assistance to support economic policy reforms that will caus... more the activity is to provide technical assistance to support economic policy reforms that will cause sustainable economic growth and enhance the competitiveness of the Philippine economy by augmenting the efforts of Philippine pro-reform partners and stakeholders. Deputy Governor Nestor A. Espenilla, Jr., of the Bangko Sentral ng Pilipinas (BSP) Supervision and Examination Sector (SES) requested this analysis of household saving behavior in the Philippines using disaggregated demographic variables to obtain additional insights for its saving mobilization policies from both macroeconomic and microeconomic perspectives. The analysis was undertaken by Dr.

Typhoon Yolanda (Haiyan), one of the strongest storms ever recorded, hurled massive destruction a... more Typhoon Yolanda (Haiyan), one of the strongest storms ever recorded, hurled massive destruction across the central part of the Philippines in Nov 2013. The question foremost in everybody’s mind is whether the Yolanda-affected families have already recovered. Using the PCED Social Protection Survey conducted 6 months after the disaster, we find that 36% of the households have yet to experience even partial recovery. We investigate the various coping mechanisms that the Yolanda-affected families have employed to aid in their recovery using logit-regression analysis. We find that the most prominent coping activity is taking precautionary measures and asset disposal. Government assistance positively aided in the recovery but only of the poor. Further, the probability of recovery is lower for those that are located in the badly-hit Leyte relative to the other provinces.

The paper applies the economic transition models and econometric convergence tests proposed by Ph... more The paper applies the economic transition models and econometric convergence tests proposed by Phillips and Sul (2006) using data on per capita Gross Regional Domestic Product (1988-2008) to determine if 14 Philippine regional economies converge to a steady state path over a period of time. The paper explores modeling and analyzing the economic transition behavior of the regions. Regional relative transition paths are investigated to generate a graphical overview of the behavior of the regional economies. The log t convergence test, which is constructed from a transition differential decay model, is used to establish if a region converges to a steady state path or diverges from a steady state path. The test basically provides the basis for a stepwise clustering algorithm in finding convergence clusters and analyzing transition behavior between clusters. The paper identifies convergence clubs and determines divergent regional economies using a recursive procedure that revolves around...

Philippine Journal of Development, 2009

This paper investigates the presence of stochastic and dynamic convergence of the 14 regional eco... more This paper investigates the presence of stochastic and dynamic convergence of the 14 regional economies in the Philippines in terms of per capita Gross Regional Domestic Product (GRDP) using regional panel data from 1988 to 2007. Stochastic convergence, which indicates convergence of regions in the long-run, is tested using Levin, Lin & Chu (LLC) and Im, Pesaran & Shin (IPS) panel unit root tests. The presence of convergence, on one hand, indicates that the economically laggard regions are gaining on the economically better-performing regions with respect to per capita GRDP. On the other hand, the lack of convergence indicates a need to reevaluate existing regional and national economic policies on development. Dynamic convergence reveals several convergence characteristics of individual regions over time. Dynamic convergence is determined by the time-varying parameter (TVP) model derived using the Kalman Filter. The paper proceeds to examine the individual convergence behavior of e...

One way of aiming for a higher economic growth path is by raising investments. Investments, howev... more One way of aiming for a higher economic growth path is by raising investments. Investments, however, require financing that will have to be generated from domestic or foreign sources. For the Philippines, whose economic performance in the last three decades is mediocre relative to its Asian neighbors, household saving is not so bright compared with other countries in East Asia. The triennial Family Income and Expenditure Survey (FIES) data from 1985 to 2003 indicate that the country’s saving rate and levels of saving of households have consistently been decreasing with its saving rate reaching the lowest level of 16% in 2003. This paper looks at the determinants of aggregate household saving in the Philippines using panel data generated from the FIES (1985-2003). The econometric model is based on the augmented life cycle model. The results suggest that the country’s population dynamics plays an important role in the aggregate household saving rate. A higher proportion of young depen...

Hedging strategies have become more and more complicated as assets being traded have become more ... more Hedging strategies have become more and more complicated as assets being traded have become more interrelated to each other. Thus, the estimation of risks for optimal hedging does not involve only the quantification of individual volatilities but also include their pairwise correlations. Therefore a model to capture the dynamic relationships is necessary to estimate and forecast correlations of returns through time. Engle’s dynamic conditional correlation (DCC) model is compared with other models of correlation. Performance of the correlation models are evaluated in this paper using only the daily log returns of the closing prices of the Peso-Dollar Exchange Rate and Philippine Stock Exchange index. Ultimately, Engle’s DCC model is adopted because of its consistency with expectations. Though generally negative, correlation between these two returns is not really constant as the results indicated. The forecast evaluation of the models was divided into in-sample and out-of-sample fore...

This paper introduces new methods of estimating Value-at-Risk (VaR) using Range-Based GARCH (Gene... more This paper introduces new methods of estimating Value-at-Risk (VaR) using Range-Based GARCH (General Autoregressive Conditional Heteroskedasticity) models. These models, which could be either based on the Parkinson Range or Garman-Klasss Range, are applied to 10 stock market indices of selected countries in the Asia-Pacific Region. The results are compared using the traditional methods such as the econometric method based on the ARMA-GARCH models and RiskMetricsTM. The performance of the different models is assessed using the out-of-sample VaR forecasts. Series of likelihood ratio (LR) tests namely: LR of unconditional coverage (LRuc), LR of independence (LRind), and LR of conditional coverage (LRcc) are performed for comparison. The result of the assessment shows that the model based on the Parkinson Range GARCH (1,1) with Student’s t distribution is the best performing model on the 10 stock market indices. It has a failure rate, defined as the percentage of actual return that is s...

Hedging strategies have become more and more complicated as assets being traded have become more ... more Hedging strategies have become more and more complicated as assets being traded have become more interrelated to each other. Thus, the estimation of risks for optimal hedging does not involve only the quantification of individual volatilities but also include their pairwise correlations. Therefore a model to capture the dynamic relationships is necessary to estimate and forecast correlations of returns through time. Engle’s dynamic conditional correlation (DCC) model is compared with other models of correlation. Performance of the correlation models are evaluated in this paper using only the daily log returns of the closing prices from January, 2000 to February, 2010 of the Peso-Dollar Exchange Rate and Philippine Stock Exchange index. Ultimately, Engle’s DCC model is adopted because of its consistency with expectations. Though generally negative, correlation between these two returns is not really constant as the results indicated. The forecast evaluation of the models was divided ...

The economic growth implications due to changes in the nation’s age structure have been substanti... more The economic growth implications due to changes in the nation’s age structure have been substantial. In the course of the demographic transition, countries experience an increasing share of the working age population relative to the total population and this creates favorable effects on economic growth. The changing age structure also influences household saving rate. This paper looks at the role of the slow demographic transition in the Philippines to its aggregate household saving rate using panel data from the Family Income and Expenditure Survey (1985 to 2003). It is known for a fact that household saving rate in the Philippines is one of the lowest in East Asia. The econometric model is based on the augmented life cycle model and the results suggest that the country’s population dynamics plays an important role in its household saving rate. The Philippines rapid population growth creates a big bulge in the lower portion of the age pyramid that resulted in a higher percentage of...

The high level of hunger incidence in the country is perhaps one of the most pressing issues that... more The high level of hunger incidence in the country is perhaps one of the most pressing issues that need to be addressed by our policymakers. Official government statistics and data from self-rated hunger surveys show an increasing trend in hunger incidence among Filipino households. Data from the National Statistical Coordination Board (NSCB) show that the percentage of Filipinos experiencing hunger almost remained the same, decreasing only slightly from 11.1 percent in 2003 to 10.8 percent in 2009. The Social Weather Stations (SWS) quarterly surveys on hunger incidence also show an increasing trend in the percentage of families that experienced hunger, reaching an alarming level of 24 percent in December 2009, representing about 4.4 million households. One probable cause of the increasing trend in hunger is the rising food prices akin to what the country experienced in 2008. This paper aims to determine the impact of food inflation and underemployment on hunger incidence in the Phil...

Following an earlier paper titled Population and Poverty: The Real Score (UPSE Discussion Paper 0... more Following an earlier paper titled Population and Poverty: The Real Score (UPSE Discussion Paper 0415, December 2004), the present paper was first issued in August 2008 as a contribution to the public debate on the population issue that never seemed to die in this country. The debate heated up about that time in reaction to a revival of moves to push for legislation on reproductive health and family planning (RH/FP). Those attempts at legislation, however, failed in the 13th Congress, and again in the 14th Congress. Since late last year, the debate has been heating up further on the heels of President Noy Aquino’s pronouncements seeming to favor RH/FP, though he prefers the nomenclature "responsible parenthood". With some updating of the data, this paper remains as relevant as ever to the ongoing public debate. It is being re-issued as a Discussion Paper for wider circulation.

This paper looks at the impact of population dynamics on poverty in elderly-headed households in ... more This paper looks at the impact of population dynamics on poverty in elderly-headed households in the Philippines using data from the Family Income and Expenditure Survey (FIES) from 2000 to 2006. The population of the elderly, or those 60 years and above, has increased from 3.2 million in 1990 to 4.6 million in 2000. This group is growing at a rate of 3.6% per annum and estimated to reach 7 million in 2010. Data from the FIES shows that the percentage of the elderly who are poor is increasing since 2003. Moreover, the percentage of elderly-headed household belonging to the poorest 10% of all households has been on the rise since 1997. An econometric model based on the logistic regression shows that the presence of a young dependent (aged 14 years old or below) increases the probability that the elderly-headed household will become poor by about 9 percentage points, controlling for other factors such as income of the household, education, age and gender of the household head, income ...

The Bangko Sentral ng Pilipinas (BSP) has the primary responsibility of maintaining stable prices... more The Bangko Sentral ng Pilipinas (BSP) has the primary responsibility of maintaining stable prices conducive to a balanced and sustainable economic growth. The year 2008 posed a challenge to the BSPOs monetary policy making as inflation hit an official 17-year high of 12.5 percent in August after ten months of continuous acceleration. The alarming double-digit inflation rate was attributed to rising fuel and food prices, particularly the price of rice. A high inflation rate has impact on poverty since inflation affects the poor more than the rich. From a macroeconomic perspective, a high level of inflation is not conducive to economic growth. This paper proposes a method of estimating inflation-at-risk (IaR) similar to the value-at-risk (VaR) used to estimate risk in the financial markets. The IaR represents the maximum inflation over a target horizon for a given low pre-specified probability. It can serve as an early warning system that the BSP can use to identify whether the level ...

Asset allocation and risk calculations depend largely on volatile models. The parameters of the v... more Asset allocation and risk calculations depend largely on volatile models. The parameters of the volatility models are estimated using either the Maximum Likelihood (ML) or the Quasi-Maximum Likelihood (QML). By comparing the out-of-sample forecasting performance of 68 ARCH-type models using inter-daily data on the peso-dollar exchange rate, this study shows that it is important to correctly specify the distribution of the asset returns and not only focus on the specification of the volatility. The forecasts are compared to the Parkinson Range, an alternative to the Realized Volatility.

Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic ... more Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic and financial indicators are normally aggregated to match quarterly macroeconomic series such as GDP when analysed in a statistical model. However, temporal aggregation, although widely accepted, is prone to information loss. To address this issue, mixed frequency modelling was employed by using state space models with time-varying parameters. Quarter-on-quarter growth rate of GDP estimates were first treated as a monthly series with missing observation. Using Kalman filter algorithm, state space models were estimated with eleven monthly economic indicators as exogenous variables. A one-step-ahead predicted value for GDP growth rates was generated and as more indicators were included in the equation, the predicted values came closer to the actual data. Further evaluation revealed that among the group competing models, using Consumer Price Index (CPI), growth rates of PSEi, exchange rate,...

The economic growth implications due to changes in the nation’s age structure have been substanti... more The economic growth implications due to changes in the nation’s age structure have been substantial. In the course of the demographic transition, countries experience an increasing share of the working age population relative to the total population and this creates favorable effects on economic growth. The changing age structure also influences household saving rate. Household saving rate in the Philippines is one of the lowest in East Asia. This paper looks at the impact of the slow demographic transition in the Philippines on its aggregate household saving rate using panel data from the Family Income and Expenditure Survey (1985 to 2003). The econometric model is based on the augmented life cycle model and the results suggest that the country’s population dynamics play an important role in its household saving rate. The Philippines’ rapid population growth formed a big bulge at the lower portion of the age pyramid that resulted in a higher percentage of young dependents. The data...

The Philippine review of economics, 2010

Anecdotal evidence permeates accounts on the impact of the global economic crisis (GEC) on Philip... more Anecdotal evidence permeates accounts on the impact of the global economic crisis (GEC) on Philippine poverty. This study systematically assesses the evidence and recent data. It adopts a somewhat eclectic approach, applying regression and decomposition techniques to trace the GEC impact on GDP and its major components, constructing panel data from nationally representative household surveys to trace the changes in household welfare during the crisis, and combining national income accounts and household survey data to simulate the differential effects of the crisis across population groups and social divides. Empirical findings suggest that although the Philippine economy did not slide to recession during the GEC, the impact of the crisis on the economy and poverty across population groups was nonetheless severe -- and may linger for many years to come.

Philippine Journal of Development, 2007

This paper studies the relationship between population dynamics and income growth in the Philippi... more This paper studies the relationship between population dynamics and income growth in the Philippines using data from 74 provinces for the period 1985-2003. Simulation techniques were used to quantify the effect of population dynamics on the differences in income of the provinces. It also examines the robustness of the explanatory variables to determine "deep" determinants of income growth. The study shows that population variable is robustly related with growth and while it is not the sole culprit for the dismal growth performance over the years, it shows that the opportunities associated with the demographic transition are real and can provide the stimulus needed by the country.

The provincial per capita income growth in the Philippines can be considered as generally dismal ... more The provincial per capita income growth in the Philippines can be considered as generally dismal in the last three decades. In trying to investigate this phenomenon, the paper applies robustness procedures to identify variables strongly correlated with provincial income growth in the Philippines. The extreme bound analysis and Bayesian averaging of classical estimates procedures are applied to fifteen determinants of income growth from a data set consisting of 74 Philippine provinces for the period 1985 to 2003. Results show that the high level of inequality is a serious obstacle to Philippine economic growth. The study also shows that the percentage of young dependents, or those aged 0 to 14 years, over the total population also hinders the provincial income growth.

the activity is to provide technical assistance to support economic policy reforms that will caus... more the activity is to provide technical assistance to support economic policy reforms that will cause sustainable economic growth and enhance the competitiveness of the Philippine economy by augmenting the efforts of Philippine pro-reform partners and stakeholders. Deputy Governor Nestor A. Espenilla, Jr., of the Bangko Sentral ng Pilipinas (BSP) Supervision and Examination Sector (SES) requested this analysis of household saving behavior in the Philippines using disaggregated demographic variables to obtain additional insights for its saving mobilization policies from both macroeconomic and microeconomic perspectives. The analysis was undertaken by Dr.

Typhoon Yolanda (Haiyan), one of the strongest storms ever recorded, hurled massive destruction a... more Typhoon Yolanda (Haiyan), one of the strongest storms ever recorded, hurled massive destruction across the central part of the Philippines in Nov 2013. The question foremost in everybody’s mind is whether the Yolanda-affected families have already recovered. Using the PCED Social Protection Survey conducted 6 months after the disaster, we find that 36% of the households have yet to experience even partial recovery. We investigate the various coping mechanisms that the Yolanda-affected families have employed to aid in their recovery using logit-regression analysis. We find that the most prominent coping activity is taking precautionary measures and asset disposal. Government assistance positively aided in the recovery but only of the poor. Further, the probability of recovery is lower for those that are located in the badly-hit Leyte relative to the other provinces.

The paper applies the economic transition models and econometric convergence tests proposed by Ph... more The paper applies the economic transition models and econometric convergence tests proposed by Phillips and Sul (2006) using data on per capita Gross Regional Domestic Product (1988-2008) to determine if 14 Philippine regional economies converge to a steady state path over a period of time. The paper explores modeling and analyzing the economic transition behavior of the regions. Regional relative transition paths are investigated to generate a graphical overview of the behavior of the regional economies. The log t convergence test, which is constructed from a transition differential decay model, is used to establish if a region converges to a steady state path or diverges from a steady state path. The test basically provides the basis for a stepwise clustering algorithm in finding convergence clusters and analyzing transition behavior between clusters. The paper identifies convergence clubs and determines divergent regional economies using a recursive procedure that revolves around...

Philippine Journal of Development, 2009

This paper investigates the presence of stochastic and dynamic convergence of the 14 regional eco... more This paper investigates the presence of stochastic and dynamic convergence of the 14 regional economies in the Philippines in terms of per capita Gross Regional Domestic Product (GRDP) using regional panel data from 1988 to 2007. Stochastic convergence, which indicates convergence of regions in the long-run, is tested using Levin, Lin & Chu (LLC) and Im, Pesaran & Shin (IPS) panel unit root tests. The presence of convergence, on one hand, indicates that the economically laggard regions are gaining on the economically better-performing regions with respect to per capita GRDP. On the other hand, the lack of convergence indicates a need to reevaluate existing regional and national economic policies on development. Dynamic convergence reveals several convergence characteristics of individual regions over time. Dynamic convergence is determined by the time-varying parameter (TVP) model derived using the Kalman Filter. The paper proceeds to examine the individual convergence behavior of e...

One way of aiming for a higher economic growth path is by raising investments. Investments, howev... more One way of aiming for a higher economic growth path is by raising investments. Investments, however, require financing that will have to be generated from domestic or foreign sources. For the Philippines, whose economic performance in the last three decades is mediocre relative to its Asian neighbors, household saving is not so bright compared with other countries in East Asia. The triennial Family Income and Expenditure Survey (FIES) data from 1985 to 2003 indicate that the country’s saving rate and levels of saving of households have consistently been decreasing with its saving rate reaching the lowest level of 16% in 2003. This paper looks at the determinants of aggregate household saving in the Philippines using panel data generated from the FIES (1985-2003). The econometric model is based on the augmented life cycle model. The results suggest that the country’s population dynamics plays an important role in the aggregate household saving rate. A higher proportion of young depen...

Hedging strategies have become more and more complicated as assets being traded have become more ... more Hedging strategies have become more and more complicated as assets being traded have become more interrelated to each other. Thus, the estimation of risks for optimal hedging does not involve only the quantification of individual volatilities but also include their pairwise correlations. Therefore a model to capture the dynamic relationships is necessary to estimate and forecast correlations of returns through time. Engle’s dynamic conditional correlation (DCC) model is compared with other models of correlation. Performance of the correlation models are evaluated in this paper using only the daily log returns of the closing prices of the Peso-Dollar Exchange Rate and Philippine Stock Exchange index. Ultimately, Engle’s DCC model is adopted because of its consistency with expectations. Though generally negative, correlation between these two returns is not really constant as the results indicated. The forecast evaluation of the models was divided into in-sample and out-of-sample fore...

This paper introduces new methods of estimating Value-at-Risk (VaR) using Range-Based GARCH (Gene... more This paper introduces new methods of estimating Value-at-Risk (VaR) using Range-Based GARCH (General Autoregressive Conditional Heteroskedasticity) models. These models, which could be either based on the Parkinson Range or Garman-Klasss Range, are applied to 10 stock market indices of selected countries in the Asia-Pacific Region. The results are compared using the traditional methods such as the econometric method based on the ARMA-GARCH models and RiskMetricsTM. The performance of the different models is assessed using the out-of-sample VaR forecasts. Series of likelihood ratio (LR) tests namely: LR of unconditional coverage (LRuc), LR of independence (LRind), and LR of conditional coverage (LRcc) are performed for comparison. The result of the assessment shows that the model based on the Parkinson Range GARCH (1,1) with Student’s t distribution is the best performing model on the 10 stock market indices. It has a failure rate, defined as the percentage of actual return that is s...

Hedging strategies have become more and more complicated as assets being traded have become more ... more Hedging strategies have become more and more complicated as assets being traded have become more interrelated to each other. Thus, the estimation of risks for optimal hedging does not involve only the quantification of individual volatilities but also include their pairwise correlations. Therefore a model to capture the dynamic relationships is necessary to estimate and forecast correlations of returns through time. Engle’s dynamic conditional correlation (DCC) model is compared with other models of correlation. Performance of the correlation models are evaluated in this paper using only the daily log returns of the closing prices from January, 2000 to February, 2010 of the Peso-Dollar Exchange Rate and Philippine Stock Exchange index. Ultimately, Engle’s DCC model is adopted because of its consistency with expectations. Though generally negative, correlation between these two returns is not really constant as the results indicated. The forecast evaluation of the models was divided ...

The economic growth implications due to changes in the nation’s age structure have been substanti... more The economic growth implications due to changes in the nation’s age structure have been substantial. In the course of the demographic transition, countries experience an increasing share of the working age population relative to the total population and this creates favorable effects on economic growth. The changing age structure also influences household saving rate. This paper looks at the role of the slow demographic transition in the Philippines to its aggregate household saving rate using panel data from the Family Income and Expenditure Survey (1985 to 2003). It is known for a fact that household saving rate in the Philippines is one of the lowest in East Asia. The econometric model is based on the augmented life cycle model and the results suggest that the country’s population dynamics plays an important role in its household saving rate. The Philippines rapid population growth creates a big bulge in the lower portion of the age pyramid that resulted in a higher percentage of...

The high level of hunger incidence in the country is perhaps one of the most pressing issues that... more The high level of hunger incidence in the country is perhaps one of the most pressing issues that need to be addressed by our policymakers. Official government statistics and data from self-rated hunger surveys show an increasing trend in hunger incidence among Filipino households. Data from the National Statistical Coordination Board (NSCB) show that the percentage of Filipinos experiencing hunger almost remained the same, decreasing only slightly from 11.1 percent in 2003 to 10.8 percent in 2009. The Social Weather Stations (SWS) quarterly surveys on hunger incidence also show an increasing trend in the percentage of families that experienced hunger, reaching an alarming level of 24 percent in December 2009, representing about 4.4 million households. One probable cause of the increasing trend in hunger is the rising food prices akin to what the country experienced in 2008. This paper aims to determine the impact of food inflation and underemployment on hunger incidence in the Phil...

Following an earlier paper titled Population and Poverty: The Real Score (UPSE Discussion Paper 0... more Following an earlier paper titled Population and Poverty: The Real Score (UPSE Discussion Paper 0415, December 2004), the present paper was first issued in August 2008 as a contribution to the public debate on the population issue that never seemed to die in this country. The debate heated up about that time in reaction to a revival of moves to push for legislation on reproductive health and family planning (RH/FP). Those attempts at legislation, however, failed in the 13th Congress, and again in the 14th Congress. Since late last year, the debate has been heating up further on the heels of President Noy Aquino’s pronouncements seeming to favor RH/FP, though he prefers the nomenclature "responsible parenthood". With some updating of the data, this paper remains as relevant as ever to the ongoing public debate. It is being re-issued as a Discussion Paper for wider circulation.

This paper looks at the impact of population dynamics on poverty in elderly-headed households in ... more This paper looks at the impact of population dynamics on poverty in elderly-headed households in the Philippines using data from the Family Income and Expenditure Survey (FIES) from 2000 to 2006. The population of the elderly, or those 60 years and above, has increased from 3.2 million in 1990 to 4.6 million in 2000. This group is growing at a rate of 3.6% per annum and estimated to reach 7 million in 2010. Data from the FIES shows that the percentage of the elderly who are poor is increasing since 2003. Moreover, the percentage of elderly-headed household belonging to the poorest 10% of all households has been on the rise since 1997. An econometric model based on the logistic regression shows that the presence of a young dependent (aged 14 years old or below) increases the probability that the elderly-headed household will become poor by about 9 percentage points, controlling for other factors such as income of the household, education, age and gender of the household head, income ...

The Bangko Sentral ng Pilipinas (BSP) has the primary responsibility of maintaining stable prices... more The Bangko Sentral ng Pilipinas (BSP) has the primary responsibility of maintaining stable prices conducive to a balanced and sustainable economic growth. The year 2008 posed a challenge to the BSPOs monetary policy making as inflation hit an official 17-year high of 12.5 percent in August after ten months of continuous acceleration. The alarming double-digit inflation rate was attributed to rising fuel and food prices, particularly the price of rice. A high inflation rate has impact on poverty since inflation affects the poor more than the rich. From a macroeconomic perspective, a high level of inflation is not conducive to economic growth. This paper proposes a method of estimating inflation-at-risk (IaR) similar to the value-at-risk (VaR) used to estimate risk in the financial markets. The IaR represents the maximum inflation over a target horizon for a given low pre-specified probability. It can serve as an early warning system that the BSP can use to identify whether the level ...

Asset allocation and risk calculations depend largely on volatile models. The parameters of the v... more Asset allocation and risk calculations depend largely on volatile models. The parameters of the volatility models are estimated using either the Maximum Likelihood (ML) or the Quasi-Maximum Likelihood (QML). By comparing the out-of-sample forecasting performance of 68 ARCH-type models using inter-daily data on the peso-dollar exchange rate, this study shows that it is important to correctly specify the distribution of the asset returns and not only focus on the specification of the volatility. The forecasts are compared to the Parkinson Range, an alternative to the Realized Volatility.