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A Tourism Financial Conditions Index for Tourism Finance

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Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2017) A Tourism Financial Conditions Index for Tourism Finance. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 20, 2017, ISSN: 2341-2356 ]

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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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Monetary Conditions Index; Financial Conditions Index; Model-based Tourism Financial Conditions Index; Unbiased Estimation.
Subjects:Social sciences > Economics > Macroeconomics
Social sciences > Economics > Stock exchanges
JEL:B41, E44, E47, G32
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2017
Number:20
ID Code:44629
Deposited On:15 Sep 2017 12:18
Last Modified:15 Sep 2017 12:18

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