Publications
An Analysis of Monetary and Macroprudential Policies in a DSGE Model with Reserve Requirements and Mortgage Lending (2022)
with Michael Ben-Gad (City, University of London) and Joseph Pearlman (City, University of London) | Economic Modelling Journal, Vol. 116, 105966
Abstract: We propose a general equilibrium framework that highlights the interaction of reserve requirements and a conventional monetary policy in a model that combines endogenous housing loan defaults and financial intermediation frictions due to the costs of enforcing contracts. We use the model to examine how the interaction of these policies affect (i) the credit and business cycle; (ii) the distribution of welfare between savers and borrowers; (iii) the overall welfare objectives when monetary and macroprudential policies are optimised together or separately. We find that models with an optimised reserve ratio rule are effective in reducing the sudden boom and bust of credit and the business cycle. We also find that there are a distributive implications of the introduction of reserve ratio where borrowers gain at the expense of savers. However, there is no difference in the overall welfare results whether monetary and macroprudential policies are optimised together or separately.
The Impact of the US Unconventional Monetary Policy and Its Normalization in the Philippines: A Capital Flow Perspective (2020)
with Jacinta Bernadette Rico Shirakawa (International Monetary Fund) | Journal of Southeast Asian Economies Vol. 37, No. 2, pp. 135-62
Universal and Commercial Banks’ Reaction to Monetary Policy in the Philippines (2016)
with Eloisa Glindro (Bangko Sentral ng Pilipinas) and Ruby Lemence (Bangko Sentral ng Pilipinas) | BS Review, Vol. 16, No. 1, pp. 11-24
Doing Business in the Philippines (2011)
published under World Bank and International Finance Corporation | World Bank Other Operational Studies
Doing Business in the Philippines (2008)
published under World Bank and International Finance Corporation | World Bank Other Operational Studies
Working papers
The Dynamics of the Output Floor: A Model-Based Assessment, Updated: December 2020
with Jonathan Acosta-Smith (Bank of England) and Marzio Bassanin (Bank of England) |
Abstract: We use a DSGE framework to assess the macroeconomic effects of the output floor, a new regulatory constraint recently introduced in the Basel III framework. The main purpose of the output floor is to reduce the excessive volatility of banks' risk-weighted assets and ensure a robust level of capital requirements. Our assessment concludes that in both normal and crisis times, the output floor reduces the volatility of the risk-weighted assets and, in turn, the banks' capital-to-RWA ratios. This contributes to tame the credit cycle, by mitigating the excessive expansion (reduction) of credit during a boom (bust). These results support what the Basel Committee on Banking Supervision (BCBS) envisioned in introducing the output floor. However, our model predicts that the output floor might trigger banks behavioural reactions. More specifically, banks may have the incentive to shift their portfolio from a less risky mortgages to a more risky non-financial corporation loans.
Zero Lower Bound and Capital Regulation (2021)
with Michael Ben-Gad (City, University of London) and Joseph Pearlman (City, University of London) |
The current low interest environment prompted many questions on how financial stability and the conduct of macroprudential policy should be implemented. On the one hand, low interest rate environment leads to a decrease in banks' profitability, bank capital, and eventually bank lending, calling for a lower capital regulation. On the other hand, this environment encourages more indebtedness by borrowers and banks excessive risk taking, calling for a higher capital regulation. We study the consequences of capital regulation when the interest rate is at ZLB using DSGE framework. We use the UK data to calibrate the parameters of the model. Our assessment concludes that in both normal and crisis times, the benefits of high capital regulation when the monetary policy is constrained at ZLB is greater than the model with low capital regulation.
Work-in-progress
The Interaction of Monetary Policy and Macroprudential Regulation in ASEAN-5
Climate Change and Prudential Regulation in Low-Income Countries
Articles
The Role of Trade Promotion Organisation and Their Contribution in Creating Linkages: The Philippine Case (2014)
with Gabrielle Roanne Moral (Bangko Sentral ng Pilipinas) | Bangko Sentral ng Pilipinas Economic Newsletter (June Issue) |
The European Turmoil and Its Impact on the Philippine Economy (2012)
with Roy Hernandez (Bangko Sentral ng Pilipinas) | Bangko Sentral ng Pilipinas Economic Newsletter (July-August Issue) |