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Temporal Granger causality and the dynamics examination on the tourism-growth nexus in Malaysia

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  • Tang, Chor Foon

Abstract

This study applied the cointegration, error-correction modelling and persistence profile to analyse the dynamic relationship between real tourism receipts, real income and real exchange rate in Malaysia. This study covers the annual sample period from 1974 to 2009. This study finds that the variables are cointegrated. In the short run, this study finds that neutrality causality between real tourism receipts and real income, while they are bi-directional Granger causality in the long run. Nevertheless, this study finds uni-directional causality running from real exchange rate to real tourism receipts and real income in both short- and long run.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 29237.

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Date of creation: Mar 2011
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Handle: RePEc:pra:mprapa:29237

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Keywords: Causality; Exchange rate; Malaysia; Tourism-led growth; Persistence profile;

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  1. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
  2. Jacint Balaguer & Manuel Cantavella-Jorda, 2002. "Tourism as a long-run economic growth factor: the Spanish case," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 877-884.
  3. Hooi Hooi Lean & Russell Smyth, 2006. "Asian Financial Crisis, Avian Flu And Terrorist Threats: Are Shocks To Malaysian Tourist Arrivals Permanent Or Transitory?," Development Research Unit Working Paper Series 11/06, Monash University, Department of Economics.
  4. Lokman Gunduz & Abdulnasser Hatemi-J, 2005. "Is the tourism-led growth hypothesis valid for Turkey?," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 499-504.
  5. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  6. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  7. Pesaran, M.H. & Shin, Y., 1993. "Cointegration and Speed of Convergence to Equilibrium," Cambridge Working Papers in Economics 9311, Faculty of Economics, University of Cambridge.
  8. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
  9. Chang, Tsangyao & Nieh, Chien-Chung, 2004. "A note on testing the causal link between construction activity and economic growth in Taiwan," Journal of Asian Economics, Elsevier, vol. 15(3), pages 591-598, June.
  10. Chor Foon Tang, 2011. "An exploration of dynamic relationship between tourist arrivals, inflation, unemployment and crime rates in Malaysia," International Journal of Social Economics, Emerald Group Publishing, vol. 38(1), pages 50-69, December.
  11. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
  12. M. Thea Sinclair, 1998. "Tourism and economic development: A survey," Journal of Development Studies, Taylor & Francis Journals, vol. 34(5), pages 1-51.
  13. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
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