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 Financial Conditions Index 
Abstract: The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, 
 effective 
	exchange rate returns and interest rate differences from April 2005 – August 2013 for 
 Taiwan that applies 
	Chang’s (2014) novel approach for constructing a tourism financial indicator, 
 namely the Tourism Financial 
	Conditions Index (TFCI). The TFCI is an adaptation and extension of 
 the widely-used Monetary Conditions Index 
	(MCI) and Financial Conditions Index (FCI) to tourism 
 stock data. However, the method of calculation of the 
	TFCI is different from existing methods of 
 constructing the MCI and FCI in that the weights are estimated 
	empirically. The empirical findings 
 show that TFCI is estimated quite accurately using the estimated conditional 
	mean of the tourism 
 stock index returns. The new TFCI is straightforward to use and interpret, and provides 
	interesting 
 insights in predicting the current economic and financial environment for tourism stock index 
 
	returns that are based on publicly available information. In particular, the use of market returns on 
 the 
	tourism stock index as the sole indicator of the tourism sector, as compared with the general 
 activity of 
	economic variables on tourism stocks, is shown to provide an exaggerated and 
 excessively volatile explanation 
	of tourism financial conditions.
Classification-JEL: B41, E44, E47, G32.
Keywords: Monetary Conditions Index, Financial Conditions Index, Model-based Tourism Financial Conditions Index, Unbiased 
	Estimation.
Note: For financial support, the first author wishes to thank the National Science Council, Taiwan, and the third author 
	wishes to acknowledge the Australian Research Council and the National Science Council, Taiwan. This is a 
	substantially revised version of a paper that was previously distributed as “A Tourism Conditions Index”. Tel: +886 
	(04)22840350 ext 309; Fax: +886(04)22860255
Length: 28 pages 
Creation-Date: 2014-01 
Revision-Date: 2014-05 
Number: 2014-20 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1420.txt
File-URL: https://eprints.ucm.es/id/eprint/26305/1/1420.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1420