Predicting international tourist arrivals in Greece with a novel sector-specific business leading indicator

Anastasiou, Dimitris and Drakos, Konstantinos and Kapopoulos, Panayotis (2022): Predicting international tourist arrivals in Greece with a novel sector-specific business leading indicator.

Abstract

We introduce a novel tourism-specific business expectations sentiment index and explore whether it can operate as a leading indicator for international tourist arrivals in Greece. Using monthly data spanning 2002-2021 and employing a VAR model, we document that this newly introduced tourism-specific business expectations serves as a leading indicator, whose higher levels foreshadow increased demand for international travel. We also find that its inclusion in a tourism-oriented model increases forecasting accuracy, which can be utilized by travel agent businesses, local government officials and policymakers in their efforts to predict tourist arrivals in Greece.

• Item Type: MPRA Paper
• Language: English
• Keywords: Leading Indicator; Expectations; Tourist Arrivals; VAR; Greece
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E0 - General

References

Agiomirgianakis, G. M., & Sfakianakis, G. (2014). Determinants of tourism demand in Greece: a panel data approach. Ekonometria, 1, 15-26.

Alaei, A. R., Becken, S., & Stantic, B. (2019). Sentiment analysis in tourism: capitalizing on big data. Journal of Travel Research, 58(2), 175-191.

Alola, A. A., Uzuner, G., & Akadiri, S. S. (2021). Modeling tourism and fear nexus in G4 countries. Current Issues in Tourism, 24(10), 1333-1339.

Anastasiou, D., & Drakos, K. (2021). European depositors’ behavior and crisis sentiment. Journal of Economic Behavior & Organization, 184, 117-136.

Anastasiou, D., & Katsafados, A. G. (2020). Bank Deposits Flows and Textual Sentiment: When an ECB President’s speech is not just a speech. MPRA Working Paper, No. 99729.

Anastasiou, D., Kallandranis, C., & Drakos, K. (2022a). Borrower discouragement prevalence for Eurozone SMEs: Investigating the impact of economic sentiment. Journal of Economic Behavior & Organization, 194, 161-171.

Anastasiou, D., Ballis, A., & Drakos, K. (2022b). Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets. International Review of Financial Analysis, 81, 102111.

Anastasiou, D., Kapopoulos, P., & Zekente, K. M. (2021). Sentimental Shocks and House Prices. The Journal of Real Estate Finance and Economics, 1-29.

Athanasopoulos, G., & Hyndman, R.J. (2008). Modelling and forecasting Australian domestic tourism, Tourism Management, 29, 19-31.

Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.

Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.

Cao, Z., Li, G., & Song, H. (2017). Modelling the interdependence of tourism demand: The global vector autoregressive approach. Annals of Tourism Research, 67, 1-13.

Chatziantoniou, I., Degiannakis, S., Eeckels, B., & Filis, G. (2016). Forecasting tourist arrivals using origin country macroeconomics. Applied Economics, 48(27), 2571-2585.

Chen, H., Chong, T. T. L., & She, Y. (2014). A principal component approach to measuring investor sentiment in China. Quantitative Finance, 14(4), 573-579.

Chen, N., Hsu, C. H., & Li, X. (2021). Resident sentiment toward a dominant tourist market: scale development and validation. Journal of Travel Research, 60(7), 1408-1425.

Choi, J. G. (2003). Developing an economic indicator system (a forecasting technique) for the hotel industry. International Journal of Hospitality Management, 22(2), 147-159.

Chu, F. L. (2009). Forecasting tourism demand with ARMA-based methods. Tourism Management, 30(5), 740-751. Coshall, J. T. (2000). Spectral analysis of overseas tourists’ expenditures in the United Kingdom. Journal of Travel Research, 38, 292–298.

Crotts, J. C., Thunberg, E. M., & Shifflet, D. K. (1993). Consumer Confidence as a Leading Indicator of Change in US Travel Volume. Journal of Travel & Tourism Marketing, 1(2), 53-62.

Cuccia, T., & Rizzo, I. (2011). Tourism seasonality in cultural destinations: Empirical evidence from Sicily. Tourism Management, 32(3), 589-595.

Darling, P. G. (1955). A Surrogative Measure of Business Confidence and Its Relation to Stock Prices. Journal of Finance, 10, 442–58.

Dragouni, M., Filis, G., Gavriilidis, K., & Santamaria, D. (2016). Sentiment, mood and outbound tourism demand. Annals of Tourism Research, 60, 80-96.

European Union. (2021). The Joint Harmonised EU Programme of Business and Consumer Surveys. User Guide, October 2021.

Fu, Y., Hao, J. X., Li, X., & Hsu, C. H. (2019). Predictive accuracy of sentiment analytics for tourism: A metalearning perspective on Chinese travel news. Journal of Travel Research, 58(4), 666-679.

Galani-Moutafi, V. (2004). Tourism research on Greece. Annals of Tourism Research, 31, 157-179.

Galariotis, E. C., Makrichoriti, P., & Spyrou, S. (2016). Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach. Journal of Financial Stability, 26, 62-77.

Gholipour, H. F., & Foroughi, B. (2020). Business sentiment and international business travels: a cross-country analysis. Journal of Travel Research, 59(6), 1061-1072.

Gounopoulos, D., Petmezas, D., & Santamaria, D. (2012). Forecasting tourist arrivals in Greece and the impact of macroeconomic shocks from the countries of tourists’ origin. Annals of Tourism Research, 39(2), 641-666.

Guizzardi, A., & Stacchini, A. (2015). Real-time forecasting regional tourism with business sentiment surveys. Tourism Management, 47, 213-223.

Gunter, U., & Önder, I. (2016). Forecasting city arrivals with Google Analytics. Annals of Tourism Research, 61, 199-212. Hamilton, J. D. (2020). Time series analysis. Princeton university press.

Hao, J. X., Fu, Y., Hsu, C., Li, X., & Chen, N. (2020). Introducing news media sentiment analytics to residents’ attitudes research. Journal of Travel Research, 59(8), 1353-1369.

Hardouvelis, G. A., Karalas, G., Karanastasis, D., & Samartzis, P. (2018). Economic policy uncertainty, political uncertainty and the Greek economic crisis. Political Uncertainty and the Greek Economic Crisis. Available at SSRN: https://ssrn.com/abstract=3155172

Hassani, H., Silva, E. S., Antonakakis, N., Filis, G., & Gupta, R. (2017). Forecasting accuracy evaluation of tourist arrivals. Annals of Tourism Research, 63, 112-127.

Icoz, O., Kozak, M. & Var, T. (1998). Tourism demand in Turkey, Annals of Tourism Research, 25, 236-240.

Adamopoulou E., Kapopoulos, P., & Marinopoulou E., (2022). Greek Tourism Industry Reloaded: Post-pandemic rebound, travel megatrends and future challenges, Insights, Alpha Bank.

Khan, H., & Upadhayaya, S. (2020). Does business confidence matter for investment?. Empirical Economics, 59(4), 1633-s1665.

Kim, H. B., Park, J. H., Lee, S. K., & Jang, S. S. (2012). Do expectations of future wealth increase outbound tourism? Evidence from Korea. Tourism Management, 33(5), 1141-1147.

Kim, J. H., & Moosa, I. A. (2005). Forecasting international tourist flows to Australia: a comparison between the direct and indirect methods. Tourism Management, 26, 69-78.

Kulendran, N., & Witt, S. F. (2003). Leading indicator tourism forecasts. Tourism Management, 24(5), 503-510.

Lee, C. C., & Chang, C. P. (2008). Tourism development and economic growth: A closer look at panels. Tourism Management, 29(1), 180-192.

Lee, C. C., Olasehinde‐Williams, G., & Akadiri, S. S. (2021). Geopolitical risk and tourism: Evidence from dynamic heterogeneous panel models. International Journal of Tourism Research, 23(1), 26-38.

Letdin, M., Sirmans, S., & Sirmans, G. S. (2021). Betting Against the Sentiment in REIT NAV Premiums. The Journal of Real Estate Finance and Economics, 1-25.

Lim, C., Chang, C., & McAleer, M. (2009). Forecasting h(m)otel guest nights in New Zealand. International Journal of Hospitality Management, 28(2), 228-235.

Lolos, S., Palaios, P., & Papapetrou, E. (2021). Tourism-led growth asymmetries in Greece: evidence from quantile regression analysis. Portuguese Economic Journal, 1-24.

Mertzanis, C., & Papastathopoulos, A. (2021). Epidemiological susceptibility risk and tourist flows around the world. Annals of Tourism Research, 86, 103095.

Nguyen, J., & Valadkhani, A. (2020). Dynamic responses of tourist arrivals in Australia to currency fluctuations. Journal of Hospitality and Tourism Management, 45, 71-78.

Papatheodorou, A., & Song, H. (2005). International tourism forecasts: A time series analysis of world and regional data, Tourism Economics, 11, 11-24.

Phillips, P.C.B & Perron, P. (1988). Testing for a unit root in time series regression, Biometrika, 75, 335-346.

Saayman, A., & Saayman, M. (2008). Determinants of inbound tourism to South Africa. Tourism Economics, 14(1), 81-96.

Santamaria, D., & Filis, G. (2019). Tourism demand and economic growth in Spain: New insights based on the yield curve. Tourism Management, 75, 447-459.

Smeral, E., & Weber, A. (2000). Forecasting international tourism trends to 2010, Annals of Tourism Research, 27, 982-1006.

Smeral, E., & Wuger, M. (2005). Does complexity matter? Methods for improving forecasting accuracy in tourism: The case of Australia. Journal of Travel Research, 44, 100-110.

Song, H., & Witt, S. F. (2006). Forecasting international tourist flows to Macau. Tourism Management, 27(2), 214-224.

Song, H., Li, G., Witt, S.F. & Athanasopoulos, G. (2010). Forecasting tourist arrivals using time-varying parameter structural time series models, International Journal of Forecasting, 27(3), 855-869.

Song, H., Wong, K. K., & Chon, K. K. (2003). Modelling and forecasting the demand for Hong Kong tourism. International Journal of Hospitality Management, 22(4), 435-451.

Tavares, J. M., & Leitao, N. C. (2017). The determinants of international tourism demand for Brazil. Tourism Economics, 23(4), 834-845.

Taylor, K., and McNabb, R. (2007). Business Cycles and the Role of Confidence: Evidence for Europe. Oxford Bulletin of Economics and Statistics, 69, 185–208.

Tsui, W. H. K., Balli, F., Tan, D. T. W., Lau, O., & Hasan, M. (2018). New Zealand business tourism: exploring the impact of economic policy uncertainties. Tourism Economics, 24(4), 386-417.

Yost, E., Ridderstaat, J., & Kizildag, M. (2020). Early warning indicators? The effect of consumer and investor sentiments on the restaurant industry. International Journal of Hospitality Management, 89, 102575.

Zhang, R., Xian, X., & Fang, H. (2019). The early‐warning system of stock market crises with investor sentiment: Evidence from China. International Journal of Finance & Economics, 24(1), 361-369.