A Tourism Conditions Index (2014)
This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estim-ates of the multivariate BEKK model for four TCI indicators to predict specific tour-ism and economic environmental indicators for Taiwan. The foundation of the TCI is the Financial Conditions Index (FCI), which is derived from the Monetary Conditions Index (MCI). The empirical findings show that TCI weighted by spillovers reveal greater significance in forecasting the Composite Index (CI), an economic environ-mental indicator, than the Tourism Industry Index (TII), which is an existing indicator for the tourism industry that is listed on the Taiwan Stock Exchange (TWSE). Moreover, previous values of the alternative TCI and TII are shown to contain useful information in predicting both tourism and economic environmental factors. Overall, the new Tourism Conditions Index is straightforward to use and also provides useful insights in predicting tourism arrivals and the current economic environment.
CitationMcAleer, M., Chang, C-L., Hsu, H-K. (2014) A Tourism Conditions Index. University of Canterbury. 29pp..
This citation is automatically generated and may be unreliable. Use as a guide only.
KeywordsMonetary Conditions Index (MCI); Financial Conditions Index (FCI); Tourism Conditions Index (TCI); BEKK; Spillovers; Granger causality.
ANZSRC Fields of Research38 - Economics::3801 - Applied economics::380116 - Tourism economics
Showing items related by title, author, creator and subject.
Chang, C-L.; Hsu, H-K.; McAleer, M. (University of Canterbury. Department of Economics and Finance, 2014)The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 ? August 2013 for Taiwan that applies Chang?s ...
Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism Chang, C-L.; Hsu, H-K.; McAleer, M. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2013)This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH ...
Rea, A.; Rea, W.S.; Reale, M.; Scarrott, C. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and FinanceUniversity of Canterbury. Mathematics and Statistics, 2012)This paper applies graphical modelling to the S&P 500, Nikkei 225 and FTSE 100 stock market indices to trace the spillover of returns and volatility between these three major world stock market indices before, during and ...