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National Chung Hsing University Institutional Repository - NCHUIR > 農業暨自然資源學院 > 應用經濟學系 > 依資料類型分類 > 期刊論文 >  AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/145762

標題: AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES
作者: CHANG, CHIA-LIN;MCALEER, MICHAEL
Contributors: Wei Chun Wang
日期: 2012-09
Issue Date: 2013-07-02 10:32:45 (UTC+8)
摘要: Tourism is a major source of service receipts for many countries, including Taiwan. The
two leading tourism countries for Taiwan are Japan and the USA, which are sources of
short- and long-haul tourism, respectively. As a strong domestic currency can have
adverse effects on international tourist arrivals through the price effect, daily data from 1
January 1990 to 31 December 2008 are used to model the world price, exchange rates,
and tourist arrivals from the world, the USA and Japan to Taiwan, and their associated
volatility. Inclusion of the exchange rate and its volatility captures approximate daily and
weekly price and price volatility effects on world, US and Japanese tourist arrivals to
Taiwan. The heterogeneous autoregressive model is used to approximate the slowly
decaying correlations associated with the long-memory properties in daily and weekly
exchange rates and international tourist arrivals, to test whether alternative short- and
long-run estimates of conditional volatility are sensitive to the long-memory in the
conditional mean, to examine asymmetry and leverage in volatility, and to examine the
effects of temporal and spatial aggregation. The approximate price and price volatility
effects tend to be different, with the exchange rate typically having the expected negative
impact on tourist arrivals to Taiwan, whereas exchange rate volatility can have positive or
negative effects on tourist arrivals to Taiwan. For policy purposes, the empirical results
suggest that an arbitrary choice of data frequency or spatial aggregation will not lead to
robust findings as they are generally not independent of the level of aggregation used.
Relation: Japanese Economic Review, Volume 63, Issue 3
Appears in Collections:[依資料類型分類] 期刊論文
[依教師分類] 張嘉玲

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