A Dynamic Correlation Approach of the Swiss Tourism Income
AbstractWe 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 15215.
Date of creation: 13 May 2009
Date of revision:
Switzerland; Tourism Economics; Economic Fluctuations; Business Cycle; Spectral Analysis; Dynamic Correlation; VAR Models.;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-16 (All new papers)
- NEP-MAC-2009-05-16 (Macroeconomics)
- NEP-TUR-2009-05-16 (Tourism Economics)
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