A Tourism Financial Conditions Index for Tourism Finance

Chia-Lin Chang (), Hui-Kuang Hsu and Michael McAleer
Additional contact information
Hui-Kuang Hsu: Department of Finance National Pingtung University, Taiwan.

No 2017-20, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: The paper uses monthly data on tourism related factors from April 2005 - June 2016 for Taiwan that applies factor analysis and Chang’s (2015) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions Index (TFCI). The TFCI is an adaptation and extension of the widely-used Monetary Conditions Index (MCI) and Financial Conditions Index (FCI) to tourism stock data. However, the method of calculation of the TFCI is different from existing methods of constructing the MCI and FCI in that the weights are estimated empirically. The empirical findings show that TFCI is statistically significant using the estimated conditional mean of the tourism stock index returns (RTS). Granger Causality tests show that TFCI shows strong feedback on RTS. An interesting insight is that the empirical results show a significant negative correlation between F1_visistors and RTS, implying that tourism authorities might promote travel by the “rich”, and not only on inbound visitor growth. The use of market returns on the tourism stock sub-index as the sole indicator of the tourism sector, as compared with the general activity of economic variables on tourism stocks, is shown to provide an exaggerated and excessively volatile explanation of tourism financial conditions.

Keywords: Monetary Conditions Index; Financial Conditions Index; Model-based Tourism Financial Conditions Index; Unbiased Estimation. (search for similar items in EconPapers)
JEL-codes: B41 E44 E47 G32 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2017-07
New Economics Papers: this item is included in nep-cfn, nep-mac and nep-tur
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eprints.ucm.es/id/eprint/44629/1/1720.pdf (application/pdf)

Related works:
Journal Article: A Tourism Financial Conditions Index for Tourism Finance (2017)
Working Paper: A Tourism Financial Conditions Index for Tourism Finance (2017)
Working Paper: A Tourism Financial Conditions Index for Tourism Finance (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucm:doicae:1720

Ordering information: This working paper can be ordered from
Facultad de Ciencias Económicas y Empresariales. Pabellón prefabricado, 1ª Planta, ala norte. Campus de Somosaguas, 28223 - POZUELO DE ALARCÓN (MADRID)
https://www.ucm.es/f ... -de-trabajo-del-icae

Access Statistics for this paper

More papers in Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Contact information at EDIRC.
Bibliographic data for series maintained by Águeda González Abad ().