Template-Type: ReDIF-Paper 1.0
Author-Name: Chang, C-L.
Author-Name-Last: Chang
Author-Name-First: Chia-Lin
Author-Person: pch286
Author-Name: Hsu, H-K.
Author-Name-Last: Hsu
Author-Name-First: Hui-Kuang
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Title: A Tourism Financial Conditions Index for Tourism Finance
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.
Length: 17
Creation-Date: 2017-08-01
File-URL: https://repub.eur.nl/pub/101763/EI2017-24.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: TI 2017-071/III
Number: EI2017-24
Classification-JEL: B41, E44, E47, G32
Keywords: Monetary Conditions Index, Financial Conditions Index, Model-based Tourism Financial Conditions Index, Unbiased Estimation
Handle: RePEc:ems:eureir:101763