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Do Real Estate Market Shocks Affect Financial Institutions Differently?​

Author

Listed:
  • Veronica B. Bayangos

    (Bangko Sentral ng Pilipinas)

  • Arno Mikhail Azcarraga

    (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.

Suggested Citation

  • Veronica B. Bayangos & Arno Mikhail Azcarraga, 2025. "Do Real Estate Market Shocks Affect Financial Institutions Differently?​," BSP Discussion Paper Series 202515, Bangko Sentral ng Pilipinas.
    • Handle: RePEc:bhd:dpaper:202515
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    File URL: https://www.bsp.gov.ph/Sites/researchsite/Publications/BSP-Discussion-Papers/DP202515.pdf
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    More about this item

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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