Please use this identifier to cite or link to this item:
Chang, Chia-Lin
Hsu, Hui-Kuang
McAleer, Michael
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-060/III
The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions Index (TFCI). The TFCI is an adaptation and extension of the widely-used Monetary Conditions Index (MCI) and Financial Conditions Index (FCI) to tourism stock data. However, the method of calculation of the TFCI is different from existing methods of constructing the MCI and FCI in that the weights are estimated empirically. The empirical findings show that TFCI is estimated quite accurately using the estimated conditional mean of the tourism stock index returns. The new TFCI is straightforward to use and interpret, and provides interesting insights in predicting the current economic and financial environment for tourism stock index returns that are based on publicly available information. In particular, the use of market returns on the tourism stock index as the sole indicator of the tourism sector, as compared with the general activity of economic variables on tourism stocks, is shown to provide an exaggerated and excessively volatile explanation of tourism financial conditions.
Monetary Conditions Index
Financial Conditions Index
Model-based Tourism Financial Conditions Index
Unbiased Estimation
Document Type: 
Working Paper

Files in This Item:
200.33 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.