The DLSU - Angelo King Institute for Economic and Business Studies
cordially invites you to the
DLSU-AKI Paper Presentation
"Exchange Rate Pass-Through of Oil Price Shocks to Inflation in the Philippines"
by
Ms. Jan Marie Claire J. Edra
Dr. Junette A. Perez
Dr. Edwin B. Valeroso
Financial Management Department
Ramon V. del Rosario College of Business
De La Salle University
on
22 May 2026 (Friday), 10:00 AM to 11:30 AM
To join, please register through this link: https://forms.gle/5UjeBB5eey8fFLjf7
or scan the QR code at the poster.
cordially invites you to the
DLSU-AKI Paper Presentation
"Exchange Rate Pass-Through of Oil Price Shocks to Inflation in the Philippines"
by
Ms. Jan Marie Claire J. Edra
Dr. Junette A. Perez
Dr. Edwin B. Valeroso
Financial Management Department
Ramon V. del Rosario College of Business
De La Salle University
on
22 May 2026 (Friday), 10:00 AM to 11:30 AM
To join, please register through this link: https://forms.gle/5UjeBB5eey8fFLjf7
or scan the QR code at the poster.
Abstract:
This study examines the transmission of global oil price shocks to the Philippine economy,
focusing on the role of the exchange rate and inflation. Using a mixed-frequency framework, a structural vector autoregression with MIDAS weighting (SVAR-MIDAS) is estimated to integrate daily oil price movements with monthly inflation and exchange rate data and quarterly output growth over the period January 2001 to December 2024. The analysis addresses how oil price shocks affect exchange rate dynamics, the degree and timing of exchange rate pass-through (ERPT) to inflation, and whether these effects vary across inflation regimes. The results indicate that oil price shocks generate immediate but short-lived movements in the exchange rate, alongside more gradual and persistent effects on inflation. Evidence of ERPT is present but limited in magnitude and not precisely estimated, suggesting that while exchange rate movements contribute to inflation dynamics, direct cost channels may play a more prominent role. Output responds negatively on impact, consistent with the contractionary effects of higher energy costs. Further analysis shows that strength of pass-through varies across inflation environments, although differences are not statistically strong. Overall, the findings point to a transmission process in which oil price shocks influence inflation through multiple channels, with limited contribution from ERPT. These results highlight the importance of maintaining credible monetary policy to anchor inflation expectations, while recognizing the role of fiscal and energy policies in shaping the adjustment process. The study contributes to the literature by applying an SVAR-MIDAS framework to a small open economy and by providing updated evidence on oil price transmission in the Philippines.
About the Authors:
Ms. Jan Marie Claire J. Edra is an Assistant Vice President in a global bank and a part-time faculty member at De La Salle University, where she teaches econometrics and quantitative methods. She has over a decade of experience in financial data analysis, with a focus on data quality and supporting data requirements for management and regulatory reporting. Her research interests center on mathematical and statistical modeling in finance, including portfolio construction and applied econometric methods. She holds a Master of Science in Financial Engineering and a Bachelor of Science in Mathematics with specialization in Business Applications from De La Salle University. She applies data-driven insights to financial decision-making and the development of
future finance professionals, while seeking to further this work across her professional and academic engagements.
Dr. Junette A. Perez is the Chair of the Department of Financial Management at De La Salle University in Manila, Philippines. She is an accountant by profession and holds a doctoral degree in Business Administration from De La Salle University Manila with Distinction, as well as a Master’s in Business Administration from the Asian Institute of Management. Her research interests include Forensic Finance, Asset Pricing and Valuation, Access to finance among youth, Women's entrepreneurship, and Financial Literacy and Inclusion. She was a Research Fellow at the Partnership for Economic Policy Network (PEPNET) and had conducted studies with the Global Entrepreneurship Monitor (GEM), the Angelo King Institute, the Community-Based Monitoring System, and the PEARL2 program of the Canadian International Development Agency (CIDA). She is a member of the Academic Female Finance Committee (AFFECT) under the American Finance Association, the Publisher of the Journal of Finance, and a concurrent member of the American Finance Association. She conducts financial literacy programs for out-of-school youth and serves as a Group Leader at Bible Study Fellowship (BSF) International.
Dr. Edwin B. Valeroso is a finance educator and practitioner with many years of experience in investment management, teaching, and research. He previously served as First Vice President of First Metro Asset Management, Inc. and continues to be active in capital markets education as President of the Capital Markets Institute of the Philippines, Inc. He teaches graduate-level courses in finance, investments, economics, and quantitative methods in several universities, including De La Salle University. He holds a Doctor of Business Administration from De La Salle University, Manila, as well as degrees in applied mathematics and actuarial mathematics. His work in both industry and academe reflects a continuing interest in financial education, research, and the practical use of analytical tools in decision-making.
This study examines the transmission of global oil price shocks to the Philippine economy,
focusing on the role of the exchange rate and inflation. Using a mixed-frequency framework, a structural vector autoregression with MIDAS weighting (SVAR-MIDAS) is estimated to integrate daily oil price movements with monthly inflation and exchange rate data and quarterly output growth over the period January 2001 to December 2024. The analysis addresses how oil price shocks affect exchange rate dynamics, the degree and timing of exchange rate pass-through (ERPT) to inflation, and whether these effects vary across inflation regimes. The results indicate that oil price shocks generate immediate but short-lived movements in the exchange rate, alongside more gradual and persistent effects on inflation. Evidence of ERPT is present but limited in magnitude and not precisely estimated, suggesting that while exchange rate movements contribute to inflation dynamics, direct cost channels may play a more prominent role. Output responds negatively on impact, consistent with the contractionary effects of higher energy costs. Further analysis shows that strength of pass-through varies across inflation environments, although differences are not statistically strong. Overall, the findings point to a transmission process in which oil price shocks influence inflation through multiple channels, with limited contribution from ERPT. These results highlight the importance of maintaining credible monetary policy to anchor inflation expectations, while recognizing the role of fiscal and energy policies in shaping the adjustment process. The study contributes to the literature by applying an SVAR-MIDAS framework to a small open economy and by providing updated evidence on oil price transmission in the Philippines.
About the Authors:
Ms. Jan Marie Claire J. Edra is an Assistant Vice President in a global bank and a part-time faculty member at De La Salle University, where she teaches econometrics and quantitative methods. She has over a decade of experience in financial data analysis, with a focus on data quality and supporting data requirements for management and regulatory reporting. Her research interests center on mathematical and statistical modeling in finance, including portfolio construction and applied econometric methods. She holds a Master of Science in Financial Engineering and a Bachelor of Science in Mathematics with specialization in Business Applications from De La Salle University. She applies data-driven insights to financial decision-making and the development of
future finance professionals, while seeking to further this work across her professional and academic engagements.
Dr. Junette A. Perez is the Chair of the Department of Financial Management at De La Salle University in Manila, Philippines. She is an accountant by profession and holds a doctoral degree in Business Administration from De La Salle University Manila with Distinction, as well as a Master’s in Business Administration from the Asian Institute of Management. Her research interests include Forensic Finance, Asset Pricing and Valuation, Access to finance among youth, Women's entrepreneurship, and Financial Literacy and Inclusion. She was a Research Fellow at the Partnership for Economic Policy Network (PEPNET) and had conducted studies with the Global Entrepreneurship Monitor (GEM), the Angelo King Institute, the Community-Based Monitoring System, and the PEARL2 program of the Canadian International Development Agency (CIDA). She is a member of the Academic Female Finance Committee (AFFECT) under the American Finance Association, the Publisher of the Journal of Finance, and a concurrent member of the American Finance Association. She conducts financial literacy programs for out-of-school youth and serves as a Group Leader at Bible Study Fellowship (BSF) International.
Dr. Edwin B. Valeroso is a finance educator and practitioner with many years of experience in investment management, teaching, and research. He previously served as First Vice President of First Metro Asset Management, Inc. and continues to be active in capital markets education as President of the Capital Markets Institute of the Philippines, Inc. He teaches graduate-level courses in finance, investments, economics, and quantitative methods in several universities, including De La Salle University. He holds a Doctor of Business Administration from De La Salle University, Manila, as well as degrees in applied mathematics and actuarial mathematics. His work in both industry and academe reflects a continuing interest in financial education, research, and the practical use of analytical tools in decision-making.