Abstract

This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators to predict specific tourism and economic environmental indicators for Taiwan. The foundation of the TCI is the Financial Conditions Index (FCI), which is derived from the Monetary Conditions Index (MCI). The empirical findings show that TCI weighted by spillovers reveal greater significance in forecasting the Composite Index (CI), an economic environmental indicator, than the Tourism Industry Index (TII), which is an existing indicator for the tourism industry that is listed on the Taiwan Stock Exchange (TWSE). Moreover, previous values of the alternative TCI and TII are shown to contain useful information in predicting both tourism and economic environmental factors. Overall, the new Tourism Conditions Index is straightforward to use and also provides useful insights in predicting tourism arrivals and the current economic environment.

Additional Metadata
Keywords Monetary Conditions Index (MCI), Financial Conditions Index (FCI), Tourism Conditions Index (TCI), BEKK, spillovers, Granger causality
JEL Economic Methodology (jel B41), Financial Markets and the Macroeconomy (jel E44), Forecasting and Simulation (jel E47), Financing Policy; Capital and Ownership Structure (jel G32)
Publisher Tinbergen Institute
Persistent URL hdl.handle.net/1765/51082
Series Tinbergen Institute Discussion Paper Series
Citation
Chang, C-L, Hsu, H-K, & McAleer, M.J. (2014). A Tourism Conditions Index (No. TI 2014-007/III). Tinbergen Institute Discussion Paper Series. Tinbergen Institute. Retrieved from http://hdl.handle.net/1765/51082