Interest Rate Movements and Inflation Risk in the Philippines

  • Alma Dela Cruz AMA University
  • David Dickinson University of Birmingham

Abstract

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.

Author Biography

David Dickinson, University of Birmingham
Department of Economics
Published
2011-04-13
How to Cite
DELA CRUZ, Alma; DICKINSON, David. Interest Rate Movements and Inflation Risk in the Philippines. Philippine Management Review, [S.l.], v. 18, apr. 2011. Available at: <https://journals.upd.edu.ph/index.php/pmr/article/view/2087>. Date accessed: 05 aug. 2025.
Section
Articles

Keywords

inflation risk; multivariate BEKK-Garch; CCAPM