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アイテム
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
http://hdl.handle.net/2261/33402
http://hdl.handle.net/2261/3340237e35036-35c8-40cc-aa26-6c8788e54c98
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | International 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 | global financial crisis | |||||
| 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 | approximate long memory | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | temporal aggregation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | spatial aggregation | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | daily effects | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | weekly effects | |||||
| 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 | http://purl.org/coar/resource_type/c_18gh | |||||
| 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 | ||||||
| 著者所属 | Department of Applied Economics National Chung Hsing University Taichung, Taiwan | |||||
| 著者所属 | ||||||
| 著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute The Netherlands | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well known that a strong domestic currency can have adverse effects on international tourist arrivals, daily data from 1 January 1990 to 31 December 2008 are used to model the world price and US$ / New Taiwan $ and Yen/ New Taiwan $ exchange rates, and tourist arrivals from the world, USA and Japan to Taiwan, as well as their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global financial crisis of 2008-09. Inclusion of the exchange rate allows approximate daily price effects on world, US and Japanese tourist arrivals to Taiwan to be captured. The Heterogeneous Autoregressive (HAR) model does not reproduce the theoretical hyperbolic decay rates associated with fractionally integrated (or long memory) time series models, but it can nevertheless approximate quite accurately and parsimoniously the slowly decaying correlations associated with such models. The HAR model is used to approximate long memory properties in daily exchange rates and international tourist arrivals, to test whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The empirical results show that the conditional volatility estimates are not sensitive to the approximate long memory nature of the conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist arrivals to Taiwan, and the world price and US$ / New Taiwan $ and Yen/ New Taiwan $ exchange rates, are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the world, US and Japanese tourist arrivals to Taiwan. For policy purposes, these 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. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Forthcoming in International Journal of Tourism Sciences. | |||||
| 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-716, 発行日 2010-02 |
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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 | ||||||
| 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/2010/2010cf716ab.html | |||||
