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A Dynamic Correlation Approach of the Swiss Tourism Income

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  • Leon, Costas
  • Eeckels, Bruno

Abstract

We apply cross-spectral methods, dynamic correlation index of comovements and a VAR model to study the cyclical components of GDP and tourism income of Switzerland with annual data for the period 1980 – 2007. We find evidence of 4 dominant cycles for GDP and an average duration between 9 and 11 years. Tourism income is characterized by more cycles, giving an average cycle of about 8 years. There are also common cycles both in the typical business cycle and in the longer-run frequency bands. Lead / lag analysis shows that the two cyclical components are roughly synchronized. Simulations via a VAR model show that the maximum effect of 1% GDP shock on tourism income is higher than the maximum effect of 1% tourism income shock on GDP. The effects of these shocks last for about 12-14 years, although the major part of the shocks is absorbed within 5-6 years.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15215.

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Date of creation: 13 May 2009
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Handle: RePEc:pra:mprapa:15215

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Keywords: Switzerland; Tourism Economics; Economic Fluctuations; Business Cycle; Spectral Analysis; Dynamic Correlation; VAR Models.;

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  1. Daniel Levy & Hashem Dezhbakhsh, 2002. "On the Typical Spectral Shape of an Economic Variable," Emory Economics 0203, Department of Economics, Emory University (Atlanta).
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Cited by:
  1. Beneki, Christina & Eeckels, Bruno & Leon, Costas, 2009. "Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach," MPRA Paper 18354, University Library of Munich, Germany.

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