Sage Journals: Discover world-class research

Abstract

This article revisits the dynamic dependence between the U.S. international tourism demand and the exchange rate using a copula-based specification that features a time-varying and state-switching comovement structure. The empirical results find a state of high-volatile dependence during the oil price upsurge (2005M11-2006M09) and economic/financial crisis (2008M06-2011M06) and a state of low-volatile dependence during the remaining periods. During the former periods, a positive dependence between U.S. inbound visits and currency depreciation is indicated most often, and the magnitude of positive dependence varies dramatically. During the remaining periods, the positive and negative dependences coexist and interchange at a smooth pace. This finding implies that the exchange rate policy affects the tourism industry in the high-volatile dependence state but not in the low-volatile dependence state. The moderating role of crude oil price on the relationship between the international tourism demand and the exchange rate is also verified.

Keywords

inbound visit exchange rate time-varying state-switching copula

Get full access to this article

View all access options for this article.

References

Chang

C. L.

McAleer

(2012). Aggregation, heterogeneous autoregression and volatility of daily international tourist arrivals and exchange rates. Japanese Economic Review, 63(3), 397-419. https://doi.org/10.1111/j.1468-5876.2011.00563.x

Cró

Martins

A. M.

(2017). Structural breaks in international tourism demand: Are they caused by crises or disasters? Tourism Management, 63, 3-9. https://doi.org/10.1016/j.tourman.2017.05.009

De Vita

. (2014). The long-run impact of exchange rate regimes on international tourism flows. Tourism Management, 45, 226-233. https://doi.org/10.1016/j.tourman.2014.05.001

De Vita

Kyaw

K. S

. (2013). Role of the exchange rate in tourism demand. Annals of Tourism Research, 43(3), 624-627. https://doi.org/10.1016/j.annals.2013.07.011

Garcia

Tsafack

(2011). Dependence structure and extreme comovements in international equity and bond markets. Journal of Banking & Finance, 35(8), 1954-1970. https://doi.org/10.1016/j.jbankfin.2011.01.003

Lim

(1997). Review of international tourism demand models. Annals of Tourism Research, 24(4), 835-849. https://doi.org/10.1016/S0160-7383(97)00049-2

Perpiña

Camprubi

Prats

(2019). Destination image versus risk perception. Journal of Hospitality & Tourism Research, 43(1), 3-19. https://doi.org/10.1177/1096348017704497

Santana-Gallego

Ledesma-Rodriguez

F. J.

Perez-Rodriguez

J. V.

(2010). Exchange rate regimes and tourism. Tourism Economics, 16(1), 25-43. https://doi.org/10.5367/000000010790872015

Song

(2008). Tourism demand modelling and forecasting: A review of recent research. Tourism Management, 29(2), 203-220. https://doi.org/10.1016/j.tourman.2007.07.016

10.

Tang

Sriboonchitta

Ramos

Wong

W. K.

(2016). Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model. Current Issues in Tourism, 19(9), 876-894. https://doi.org/10.1080/13683500.2014.932336

11.

Webber

A. G.

(2001). Exchange rate volatility and cointegration in tourism demand. Journal of Travel Research, 39(4), 398-405. https://doi.org/10.1177/004728750103900406

12.

Yeoman

John Lennon

Blake

Galt

Greenwood

McMahon-Beattie

(2007). Oil depletion: What does this mean for scottish tourism? Tourism Management, 28(5), 1354-1365. https://doi.org/10.1016/j.tourman.2006.09.014

Dynamic Dependence between U.S. Inbound Visits and Exchange Rate

Abstract

Keywords

Get full access to this article

References