1,721,091 research outputs found
Estimating exchange rate responsiveness to shocks
No full textThe goal of this paper is to examine the importance of permanent and transitory shocks using a more efficient trend-cycle decomposition of the real exchange rate series. Our main contribution is that in measuring the impact of shocks, we not only impose common trend restrictions but also common cycle restrictions. We later confirm, through a post sample forecasting exercise, the efficiency gains from imposing common cycle restrictions. Our results indicate that permanent shocks are responsible for the bulk of the real exchange rate variations for Japan, Italy, Germany, France, and the UK vis-à-vis the US dollar over short horizons. For Canada, however, transitory shocks are dominant over the short horizon. In sum, while for Japan, France, and Italy, around 15% of the variation in real exchange rate is due to transitory shocks, for Canada, Germany and the UK, over 25% of the variations over the short horizon are due to transitory shocks. Thus, we claim that the role of transitory shocks should not be ignored.Real exchange rates Trend-cycle decomposition Permanent and transitory shocks
Evidence of panel stationarity from Chinese provincial and regional income
No full textThe aim of this paper is to examine whether Chinese provincial and regional real GDP and per capita real GDP are panel stationary for the period 1952-2003. We allow for multiple structural breaks based on a technique developed by Carrion-i-Silvestre et al. [Carrion-i-Silvestre, J. L., Barrio-Castro, T, D., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8, 159-175]. Allowing for at most five structural breaks, we find that for 67% of the provinces, per capita real GDP is stationary; while we only find stationarity of real GDP for 17% of the provinces. However, when we extend the analysis to panel data models, we find statistically strong evidence of panel stationarity of Chinese provincial and regional income.
Tourism Demand Modelling: Some Issues Regarding Unit Roots, Co-integration and Diagnostic Tests
No full textThis paper investigates the all important issue of diagnostic tests, including unit roots and cointegration, in the tourism demand modelling literature. The origins of this study lie in the apparent lack in the tourism economics literature of detail concerning the diagnostic test aspect. Study of this deficiency has suggested that previous literature on tourism demand modelling may be divided into two categories: the pre-1995 and post-1995 studies. It was found that the pre-1995 and some post-1995 studies have ignored unit root tests and co-integration and, hence, are vulnerable to the so-called spurious regression problem. In highlighting the key diagnostic tests reported by post-1995 studies, this paper contends that there is no need to report the autoregressive conditional heteroskedasticity (ARCH) test, which is applicable only to financial market analysis where the dependent variable is return on an asset. More generally, heteroskedasticity is not seen as a problem in time-series data. However, the reporting of a greater than necessary range of diagnostic tests - some of which do not have any theoretical justification with regard to tourism demand analysis - does not diminish the precision of the results or the model. This paper should appeal to scholars involved in tourism demand modelling.No Full Tex
Examining the behaviour of visitor arrivals to Australia from 28 different countries
No full textTesting the integrational properties of visitor arrivals has important implications for policy, for if visitor arrivals are integrated of order one (nonstationary) then it implies that shocks to visitor arrivals are permanent. However, if visitor arrivals are found to be integrated or order zero (stationary) then this implies that shocks to visitor arrivals are temporary. In this paper we examine whether visitor arrivals to Australia are stationary or nonstationary, using the recently developed univariate and panel Lagrange multiplier tests, and the Im, Pesaran and Shin [Im, K.S., Pesaran, M.H., Shin, Y., 1997. Testing for Unit Roots in Heterogeneous Panels. Manuscript, Department of Applied Economics, University of Cambridge; Im, K.S., Pesaran, M.H., Shin, Y., 2003. Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 115, 53-74] panel t-test. Our exercise involves Australia's 28 tourist source markets. Our main findings are: (1) that visitor arrivals to Australia from 28 tourist source markets are stationary, implying that any shock will have only a temporary effect and (2) the second structural break, which mainly coincides with the September 11 terrorist attacks and the Asian financial crisis, has slowed down the growth rate in visitor arrivals to Australia from 22 out of 28 (79%) of the tourism source markets.
The purchasing power parity revisited: New evidence for 16 OECD countries from panel unit root tests with structural breaks
No full textIn this paper, we apply a range of univariate unit root tests including the Lagrangian multiplier (LM) univariate and panel unit root tests to examine PPP for 16 OECD countries. In addition to incorporating structural breaks in the univariate exchange rate series, we also incorporate structural breaks in the panel exchange rate models. Our main finding from univariate tests, with and without structural breaks and panel LM test with one break, is that real exchange rates are not stationary, inconsistent with PPP hypothesis. However, when we incorporate two structural breaks in the univariate LM test, for most countries we find that real exchange rates are stationary. Moreover, we obtain overwhelming support for PPP when we apply panel LM unit root tests with two structural breaks.
Reformulating Critical Vaules for the Bounds F-statistics Approach to Cointegration: An application to the Tourism Demand Model for Fuji
No full textThis paper examines the short-and long-run relationships between visitor arrivals to Fiji, real disposable incomes, and own-hotel price and substitute hotel price for the period 1970-2000, using the bounds testing approach to cointegration and error correction models. The paper's main contribution is that it generates bounds F-statistic critical values specific to the study's sample size (31 observations) and finds that critical values are 35.5% higher than those reported in Pesaran et al. (2001) for 1000 observations and 17.1% higher than those reported in Pesaran and Pesaran (1997) for 500 observations for a model with 4 regressors and an intercept. In the light of this, we tabulate critical values for sample sizes ranging from 30 observations to 80 observations, which will be useful for future researchers using the bounds testing approach to cointegration
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