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22-01-2022

Does uncertainty granger-causes visitor arrivals? evidence from the MF-VAR model

Authors: Haoke Ding, Yinghua Ren, Wanhai You

Published in: Quality & Quantity | Issue 6/2022

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Abstract

In this article, we investigate whether world uncertainty index (WUI) Granger-causes visitor arrivals (VA) in 19 emerging economies using the mixed-frequency vector autoregressive model (MF-VAR). Moreover, a comparative study on MF-VAR and low-frequency vector autoregressive model (LF-VAR) had been analyzed to further tap the need for MF-VAR model. Empirical results reveal that the Granger causality is not homogeneous for emerging economies. To be more specific, WUI Granger-causes VA in some emerging economies, while others do not. Also, the causality running from WUI to VA is heterogeneous at various horizons. The results show the short-run causality running from WUI to VA in China, Israel, Morocco, the Philippines, Poland, and Turkey whereas long-run causality in Colombia. From these findings, different countries should formulate corresponding tourism strategies to deal with uncertainty.

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High-income countries includes 79 countries, more details about which countries are included see World Development Indicators (https://data.worldbank.org.cn/indicator/ST.INT.ARVL).

We sincerely thank an anonymous referee for giving us much good advice on the lag order selection.

https://data.worldbank.org.cn/indicator/ST.INT.ARVL.

https://www.policyuncertainty.com/.

We thank an anonymous referee for informing us of this issue.

https://www.wind.com.cn/en/edb.html.

The null hypothesis is rejected at the 1% significance level.

We also explore the influences of another uncertainty index, namely global economic uncertainly index (GEPU), on visitor arrivals. A complete analysis of the effect of these two indices on visitor arrivals is conducted. Results indicate that the different uncertainty indices have the different function to visitor arrivals. The differences in empirical results possible by using different indices with different meanings. The corresponding results are not presented here to conserve space but are available upon request. We appreciate an anonymous referee for informing us of this issue.

https://wttc.org/Research/Economic-Impact.

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Title: Does uncertainty granger-causes visitor arrivals? evidence from the MF-VAR model
Authors: Haoke Ding
Yinghua Ren
Wanhai You
Publication date: 22-01-2022
Publisher: Springer Netherlands
Published in: Quality & Quantity / Issue 6/2022
Print ISSN: 0033-5177
Electronic ISSN: 1573-7845
DOI: https://doi.org/10.1007/s11135-021-01300-w

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