Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University, Taichung, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics)
	Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Title: Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals 
	and Exchange Rates
Abstract: Tourism is a major source of service receipts for many countries, including Taiwan. The two leading 
	tourism countries for Taiwan are Japan and 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, 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 (HAR) 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.
Classification-JEL: C22, F31, G18, G32.
Keywords: International tourist arrivals, exchange rates, exchange rate volatility, GARCH, GJR, EGARCH, HAR, 
	long memory, temporal and spatial aggregation, daily and weekly effects, asymmetry, leverage.
Length: 38 pages 
Creation-Date: 2011 
Number: 2011-13
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1113.txt
File-URL: https://eprints.ucm.es/id/eprint/12730/1/1113.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1113