Examining the Relationship Between Tourism Index Return and Financial, Macroeconomic and Tourism Industry Development Indicators: An Application of MS-VAR Models
Examining the Relationship Between Tourism Index Return and Financial, Macroeconomic and Tourism Industry Development Indicators: An Application of MS-VAR Models
Author(s): Yeşim Helhel, Eray AkgünSubject(s): National Economy, Business Economy / Management, Economic history, Financial Markets, Tourism, Socio-Economic Research
Published by: Vysoká škola ekonomická v Praze
Keywords: Causality; financial development; macroeconomy; MS-VAR; Toda–Yamamoto; tourism index return;
Summary/Abstract: This study aims to identify structural breaks specific to Turkey's developing capital market and examine the causality relationship between tourism index return and financial, macroeconomic, and tourism industry development indicators from January 2005 to February 2022. The MS-VAR econometric model, based on two regimes, detects nonlinear and asymmetrical structures. Findings indicate local effects of shocks on financial and macroeconomic indicators during regime transition periods. Unidirectional causality exists between the real exchange rate, tourism index returns, and trading volume, but no relationship is found between tourism index return and bank loans to the tourism industry or tourist arrivals.
Journal: Politická ekonomie
- Issue Year: 72/2024
- Issue No: 4
- Page Range: 626-652
- Page Count: 27
- Language: English
