Do Real Estate Market Shocks Affect Financial Institutions Differently?​

Veronica Bayangos and Arno Mikhail Azcarraga
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Veronica Bayangos: Bangko Sentral ng Pilipinas
Arno Mikhail Azcarraga: Bangko Sentral ng Pilipinas

No 202515, BSP Discussion Paper Series from Bangko Sentral ng Pilipinas

Abstract: Real estate crises underscore the sector’s central role in systemic risk transmission. This study provides new evidence on how real estate firms and non-bank financial institutions shape financial stability within the Philippines’ conglomerate-based financial system. Using high-frequency stock data from 2013–2025, it applies optimal candlestick spot volatility estimators and ΔCoVaR to quantify spillovers. Property shocks strongly affect both banks and non-banks, with the latter amplifying stress. Large banks remain resilient, while smaller ones show greater downside sensitivity, revealing asymmetric contagion and flight-to-safety behavior. Contagion intensifies within conglomerates, highlighting complex intra-group linkages and their implications for financial stability oversight.

JEL-codes: C58 E58 G01 G21 G23 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2025-12
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Published as BSP Discussion paper No. 2025-15, December 2025

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Persistent link: https://EconPapers.repec.org/RePEc:bhd:dpaper:202515

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