Tang, Chor Foon (2011): Temporal Granger causality and the dynamics examination on the tourism-growth nexus in Malaysia.
Download (241kB) | Preview
This study applied the cointegration, error-correction modelling and persistence profile to analyse the dynamic relationship between real tourism receipts, real income and real exchange rate in Malaysia. This study covers the annual sample period from 1974 to 2009. This study finds that the variables are cointegrated. In the short run, this study finds that neutrality causality between real tourism receipts and real income, while they are bi-directional Granger causality in the long run. Nevertheless, this study finds uni-directional causality running from real exchange rate to real tourism receipts and real income in both short- and long run.
|Item Type:||MPRA Paper|
|Original Title:||Temporal Granger causality and the dynamics examination on the tourism-growth nexus in Malaysia|
|Keywords:||Causality; Exchange rate; Malaysia; Tourism-led growth; Persistence profile|
|Subjects:||O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O11 - Macroeconomic Analyses of Economic Development
O - Economic Development, Innovation, Technological Change, and Growth > O5 - Economywide Country Studies > O53 - Asia including Middle East
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Chor Foon Tang|
|Date Deposited:||11. Mar 2011 19:46|
|Last Modified:||12. Feb 2013 06:29|
Balaguer, J. and Cantavella-Jorda, M. (2002) Tourism as a long-run economic growth factor: The Spanish case. Applied Economics, 34, pp. 877-884.
Belloumi, M. (2010) The relationship between tourism receipts, real effective exchange rate and economic growth in Tunisia. International Journal of Tourism Research, 12, pp. 550-560.
Chang, T. And Nieh, C.C. (2004) A note on testing the causal link between construction activity and economic growth in Taiwan. Journal of Asian Economics, 15, pp. 591-598.
Clancy, M.J. (1999) Tourism and development: Evidence from Mexico. Annals of Tourism Research, 26(1), pp. 1-20.
Deaton, A. (1995) Growth and saving: What do we know, what do we need to know, and what might we learn? Manuscript, Princeton University.
Elken, W. (1975) The relation between tourism and employment in Kenya and Tanzania. Journal of Development Studies, 11(2), pp. 123-130.
Granger, C.W.J. (1988) Some recent developments in a concept of causality. Journal of Econometrics, 39, pp. 199-211.
Granger, C.W.J. and Newbold, P. (1974) Spurious regressions in econometrics. Journal of Econometrics, 2, pp. 111-120.
Gunduz, L. and Hatemi-J, A. (2005) Is the tourism-led growth hypothesis valid for Turkey? Applied Economics Letters, 12(8), pp. 499-504.
Katircioğlu, S. (2010) Testing the tourism-led growth hypothesis for Singapore – an empirical investigation from bounds test to cointegration and Granger causality tests. Tourism Economics, 16(4), pp. 1095-1101.
Kremers, J.J.M., Ericsson, N.R. and Dolado, J.J. (1992) The power of cointegration tests. Oxford Bulletin of Economics and Statistics, 54(3), pp. 325-348.
Lean, H.H. and Smyth, R. (2009) Asian financial crisis, avian flu and terrorist threats: Are shock to Malaysian tourist arrivals permanent or transitory? Asia Pacific Journal of Tourism Research, 14(3), pp. 301-321.
Lean, H.H. and Tang, C.F. (2010) Is the tourism-led growth hypothesis stable for Malaysia? A note. International Journal of Tourism Research, 12(4), pp. 375-378.
Lumsdaine, R.L. and Papell, D.H. (1997) Multiple trend breaks and the unit-root hypothesis. Review of Economics and Statistics, 79(2), pp. 212-218.
Narayan, P.K. (2005) The saving and investment nexus for China: Evidence from cointegration tests. Applied Economics, 37, pp. 1979-1990.
Oh, C.O. (2005) The contribution of tourism development to economic growth in the Korean economy. Tourism Management, 26, pp. 39-44.
Perman, R. (1991) Cointegration: An introduction to the literature. Journal of Economic Studies, 18(3), pp. 3-30.
Perron, P. (1989) The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57(6), pp. 1361-1401.
Pesaran, M.H. and Shin, Y. (1996) Cointegration and speed of convergence to equilibrium. Journal of Econometrics, 71, pp. 117-143.
Pesaran, M.H. and Shin, Y. (1999) An autoregressive distributed-led modelling approach to cointegration analysis. In Econometrics and Economic Theory in the 20th Century. The Ragnar Frisch Centennial Symposium, ed. Steinar Strom. Cambridge: Cambridge University Press.
Pesaran, M.H., Shin, Y. and Smith, R.J. (2001) Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, pp. 289-326.
Phillips, P.C.B. and Hansen, B.E. (1990) Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies, 57(1), pp. 99-125.
Sinclair, M.T. (1998) Tourism and economic development: A survey. Journal of Development Studies, 34(5), pp. 1-51.
Stock, J.H. and Watson, M.W. (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), pp. 783-820.
Tang, C.F. (2011a) Is the tourism-led growth hypothesis valid for Malaysia? A view from disaggregated tourism markets. International Journal of Tourism Research, 13, pp. 97-101.
Tang, C.F. (2011b) An exploration of dynamic relationship between tourist arrivals, inflation, unemployment and crime rates in Malaysia. International Journal of Social Economics, 38(1), pp. 50-69.
World Tourism Organisation (2010) Recovery confirmed, but growth remains uneven. UNWTO World Tourism Barometer, 8(2), pp. 1-63.
Zain, Y. (2005) Malaysia second most visited. New Straits Times, 24 December, pp. 22.
Zivot, E. and Andrews, D.W.K. (1992) Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10(3), pp. 251-270.