Do Real Estate Market Shocks Affect Financial Institutions Differently?

Real estate crises often underscore the sector's overlooked systemic significance. This study investigates how real estate market shocks affect banks and non-bank financial institutions in the Philippines using high-frequency stock data from 2013 to 2025. By employing the Garman-Klass estimator and ΔCoVaR, the research reveals that real estate distress substantially impacts both banks and non-banks, with non-banks potentially amplifying financial stress. Large banks demonstrate resilience, whereas smaller ones are more susceptible to shocks, highlighting the phenomenon of contagion heterogeneity. The findings emphasize the importance of macroprudential policies in managing sectoral interdependencies to ensure financial stability in emerging markets.  

Dr. Veronica B. Bayangos is the director of the Supervisory Policy and Research Department of the Financial Supervision Sector of the Bangko Sentral ng Pilipinas.

She holds a Master of Arts and Doctor of Philosophy in Development Economics from the Institute of Social Studies of Erasmus University in Rotterdam, The Netherlands. Her published works cover the areas of empirical macro and international economics, monetary and financial policies, macroprudential policy, and macroeconometric modeling and forecasting.

Arno Mikhail Azcarraga is an Acting Bank Officer at the Central Bank of the Philippines, where he began his professional career shortly after graduation. He holds a straight master’s degree from De La Salle University, completing both his Bachelor of Science in Applied Economics and Master of Science in Economics. He graduated Magna Cum Laude and was the recipient of the prestigious Student Leadership Award during the 192nd DLSU Commencement Exercises, where he also delivered the graduation response. Throughout his university life, Arno actively balanced academic excellence with dynamic leadership and extracurricular involvement. He served as Vice President of his batch in his first year, Batch President in the University Student Government in his second, and Commissioner for the Economics Leaders Congress in his third. Simultaneously, he excelled in international diplomacy competitions, representing DLSU at the National Model United Nations in New York in 2018—where his team emerged as champions, marking a historic first for the university. He later served as President of Alyansang Tapat sa Lasallista (Tapat), one of DLSU’s major political organizations. Before graduating, he returned to the School of Economics as a Teaching Assistant under Dr. Tereso Tullao.

His academic journey and leadership track reflect a deep commitment to service, excellence, and nation-building—principles that continue to guide his work in public service today.

Please join us via Zoom. Register here.