Does uncertainty granger-causes visitor arrivals? evidence from the MF-VAR model

Haoke Ding (), Yinghua Ren () and Wanhai You ()
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Haoke Ding: Advanced Institute of Finance, Sun Yat-Sen University
Yinghua Ren: Hunan University
Wanhai You: Fuzhou University

Quality & Quantity: International Journal of Methodology, 2022, vol. 56, issue 6, No 14, 4193-4215

Abstract: Abstract In this article, we investigate whether world uncertainty index (WUI) Granger-causes visitor arrivals (VA) in 19 emerging economies using the mixed-frequency vector autoregressive model (MF-VAR). Moreover, a comparative study on MF-VAR and low-frequency vector autoregressive model (LF-VAR) had been analyzed to further tap the need for MF-VAR model. Empirical results reveal that the Granger causality is not homogeneous for emerging economies. To be more specific, WUI Granger-causes VA in some emerging economies, while others do not. Also, the causality running from WUI to VA is heterogeneous at various horizons. The results show the short-run causality running from WUI to VA in China, Israel, Morocco, the Philippines, Poland, and Turkey whereas long-run causality in Colombia. From these findings, different countries should formulate corresponding tourism strategies to deal with uncertainty.

Keywords: Visitor arrivals; World uncertainty index; Emerging economies; MF-VAR model (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11135-021-01300-w

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