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

Author

Listed:
  • Haoke Ding

    (Advanced Institute of Finance, Sun Yat-Sen University)

  • Yinghua Ren

    (Hunan University)

  • Wanhai You

    (Fuzhou University
    Chinese Academy of Sciences)

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.

Suggested Citation

  • Haoke Ding & Yinghua Ren & Wanhai You, 2022. "Does uncertainty granger-causes visitor arrivals? evidence from the MF-VAR model," Quality & Quantity: International Journal of Methodology, Springer, vol. 56(6), pages 4193-4215, December.
    • Handle: RePEc:spr:qualqt:v:56:y:2022:i:6:d:10.1007_s11135-021-01300-w
    DOI: 10.1007/s11135-021-01300-w
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    References listed on IDEAS

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