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, Taiwan
Author-Name: Hui-Kuang Hsu
Author-Workplace-Name: Department of Finance and Banking National Pingtung Institute of Commerce, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: A Tourism Conditions Index
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.
Classification-JEL: B41, E44, E47, G32.
Keywords: Monetary Conditions Index (MCI), Financial Conditions Index (FCI), Tourism Conditions Index (TCI), 
	BEKK, Spillovers, Granger causality.
Note: For financial support, the first author is most grateful to the National Science Council, Taiwan, and the 
	third author wishes to acknowledge the Australian Research Council and the National Science Council, Taiwan.
	**Corresponding author: changchialin@nchu.edu.tw 
	Tel: +886 (04)22840350 ext 309; Fax: +886(04)22860255
Length: 30 pages 
Creation-Date: 2014-01  
Number: 2014-01 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1401.txt
File-URL: https://eprints.ucm.es/id/eprint/24178/1/1401.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1401