Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2014-01-07
Number: 14-007/III
Author-Name: Chia-Lin Chang
Author-Workplace-Name: National Chung Hsing University, Taiwan
Author-Name: Hui-Kuang Hsu
Author-Workplace-Name: National Pingtung Institute of Commerce, Taiwan
Author-Name: Michael McAleer
Author-Workplace-Name: National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain
Title: A Tourism Conditions Index
Abstract: 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 estimates of the multivariate BEKK model for four TCI indicators to predict specific tourism 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 environmental 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.
Classification-JEL: B41, E44, E47, G32
Keywords: Monetary Conditions Index (MCI), Financial Conditions Index (FCI), Tourism Conditions Index (TCI), BEKK, Spillovers, Granger causality
File-Url: https://papers.tinbergen.nl/14007.pdf
File-Format: application/pdf
File-Size: 392707 bytes
Handle: RePEc:tin:wpaper:20140007