| Abstract: |
This paper estimates the effects of short and long haul volatility (or risk)
in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively.
In order to model appropriately the volatilities of international tourist
arrivals, we use symmetric and asymmetric conditional volatility models that
are commonly used in financial econometrics, namely the GARCH (1,1), GJR (1,1)
and EGARCH (1,1) models. The data series are for the period January 1997 to
December 2007. The volatility estimates for the monthly growth in Japanese
tourists to New Zealand and Taiwan are different, and indicate that the former
has an asymmetric effect on risk from positive and negative shocks of equal
magnitude, while the latter has no asymmetric effect. Moreover, there is a
leverage effect in the monthly growth rate of Japanese tourists to New
Zealand, whereby negative shocks increase volatility but positive shocks of
similar magnitude decrease volatility. These empirical results seem to be
similar to a wide range of financial stock market prices, so that the models
used in financial economics, and hence the issues related to risk and leverage
effects, are also applicable to international tourism flows. |