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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
http://hdl.handle.net/2261/32443
http://hdl.handle.net/2261/3244383d941f0-0941-4f10-a220-678365bf0dcf
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Korean tourist arrivals | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | exchange rates | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | approximate price effects | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | global financial crisis | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Asian economic and financial crises | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | GARCH | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | GJR | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | EGARCH | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | HAR | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | long memory | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | asymmetry | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | leverage | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | JEL Classifications: C22, F31, G18, G32. | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Chang, Chia-Lin
× Chang, Chia-Lin× McAleer, Michael |
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著者所属 | ||||||
値 | Center for International Research on the Japanese Economy | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily data from 1 January 1990 to 31 December 2008 are used to model the Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and a significant part of the global financial crisis of 2008-09. Inclusion of the exchange rate allows approximate daily price effects on Korean tourism arrivals to Taiwan to be captured. The Heterogeneous Autoregressive (HAR) model is used to capture long memory properties in exchange rates and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the conditional volatility estimates are not sensitive to the long memory nature of the conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-691, 発行日 2009-11 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題Scheme | NDC | |||||
主題 | 335 | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
値 | Center for International Research on the Japanese Economy | |||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf691ab.html |