Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model

© 2014 Taylor & Francis. This paper investigates dependence between tourism demand and exchange rate, using the case of China, and from a new perspective by using copula–GARCH models. The empirical results show that the volatility of exchange rate is not a determinant factor in fluctuation of...

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Main Authors: Tang J., Sriboonchitta S., Ramos V., Wong W.
Format: Journal
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84904073952&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/41705
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-417052017-09-28T04:22:54Z Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model Tang J. Sriboonchitta S. Ramos V. Wong W. © 2014 Taylor & Francis. This paper investigates dependence between tourism demand and exchange rate, using the case of China, and from a new perspective by using copula–GARCH models. The empirical results show that the volatility of exchange rate is not a determinant factor in fluctuation of China’s inbound tourism demand from the countries being studied. Furthermore, only Russia exhibits risk-adverse behaviour with extreme SUR depreciation, or CNY appreciation associated with an extreme decline in arrivals. Third, introducing the tail dependence and dynamic dependence between growth rates of tourism demand and exchange rate add much to the explanatory ability of the model. The findings of this study have important implications for destination manager and travel agent as it helps to understand the impact of exchange rates on China inbound tourism demand and provide a complementary academic approach on evaluating the role of exchange rates in the international tourism demand model. 2017-09-28T04:22:54Z 2017-09-28T04:22:54Z 2016-07-28 Journal 13683500 2-s2.0-84904073952 10.1080/13683500.2014.932336 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84904073952&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/41705
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © 2014 Taylor & Francis. This paper investigates dependence between tourism demand and exchange rate, using the case of China, and from a new perspective by using copula–GARCH models. The empirical results show that the volatility of exchange rate is not a determinant factor in fluctuation of China’s inbound tourism demand from the countries being studied. Furthermore, only Russia exhibits risk-adverse behaviour with extreme SUR depreciation, or CNY appreciation associated with an extreme decline in arrivals. Third, introducing the tail dependence and dynamic dependence between growth rates of tourism demand and exchange rate add much to the explanatory ability of the model. The findings of this study have important implications for destination manager and travel agent as it helps to understand the impact of exchange rates on China inbound tourism demand and provide a complementary academic approach on evaluating the role of exchange rates in the international tourism demand model.
format Journal
author Tang J.
Sriboonchitta S.
Ramos V.
Wong W.
spellingShingle Tang J.
Sriboonchitta S.
Ramos V.
Wong W.
Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model
author_facet Tang J.
Sriboonchitta S.
Ramos V.
Wong W.
author_sort Tang J.
title Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model
title_short Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model
title_full Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model
title_fullStr Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model
title_full_unstemmed Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model
title_sort modelling dependence between tourism demand and exchange rate using the copula-based garch model
publishDate 2017
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84904073952&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/41705
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