Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
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 National Pingtung University, Taiwan.
Author-Name:
 Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: A Tourism Financial Conditions Index for Tourism Finance
Abstract: The paper uses monthly data on tourism related factors from April 2005 - June 2016 for Taiwan that applies factor analysis and Chang’s 
	(2015) 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 statistically significant using the estimated conditional mean of the 
	tourism stock index returns (RTS). Granger Causality tests show that TFCI shows strong feedback on RTS. An interesting insight is that 
	the empirical results show a significant negative correlation between F1_visistors and RTS, implying that tourism authorities might 
	promote travel by the “rich”, and not only on inbound visitor growth. The use of market returns on the tourism stock sub-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.
Length: 35 pages 
Creation-Date: 2017-07
Number: 2017-20
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1720.txt
File-URL: https://eprints.ucm.es/id/eprint/44629/1/1720.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1720