A Tourism Financial Conditions Index


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Chang, Chia-Lin and Hsu, Hui-Kuang and McAleer, Michael (2014) A Tourism Financial Conditions Index. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 20, 2014, ] (Unpublished)

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The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) 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 estimated quite accurately using the estimated conditional mean of the tourism stock index returns. The new TFCI is straightforward to use and interpret, and provides interesting insights in predicting the current economic and financial environment for tourism stock index returns that are based on publicly available information. In particular, the use of market returns on the tourism stock 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
Additional Information:

For financial support, the first author wishes to thank the National Science Council,
Taiwan, and the third author wishes to acknowledge the Australian Research Council
and the National Science Council, Taiwan. This is a substantially revised version of a
paper that was previously distributed as “A Tourism Conditions Index”.

Palabras clave (otros idiomas):Monetary Conditions Index, Financial Conditions Index, Model-based Tourism Financial Conditions Index, Unbiased Estimation.
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > Finance
JEL:B41, E44, E47, G32
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:26305
Deposited On:15 Jul 2014 12:02
Last Modified:03 Feb 2016 13:45

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