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A Tourism Conditions Index

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer
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Hui-Kuang Hsu: National Pingtung Institute of Commerce, Taiwan

No 14-007/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

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.

Keywords: Monetary Conditions Index (MCI); Financial Conditions Index (FCI); Tourism Conditions Index (TCI); BEKK; Spillovers; Granger causality (search for similar items in EconPapers)
JEL-codes: B41 E44 E47 G32 (search for similar items in EconPapers)
Date: 2014-01-07
New Economics Papers: this item is included in nep-mac and nep-tur
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Citations: View citations in EconPapers (2)

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Working Paper: A Tourism Conditions Index (2014) Downloads
Working Paper: A Tourism Conditions Index (2014) Downloads
Working Paper: A Tourism Conditions Index (2014) Downloads
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