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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. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, Elsevier, vol. 39(1-2), pages 199-211.
  2. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
  3. Jacint Balaguer & Manuel Cantavella-Jordá, 2000. "Tourism As A Long-Run Economic Growth Factor: The Spanish Case," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2000-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  4. Pesaran, M. Hashem & Shin, Yongcheol, 1996. "Cointegration and speed of convergence to equilibrium," Journal of Econometrics, Elsevier, Elsevier, vol. 71(1-2), pages 117-143.
  5. 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, Elsevier, vol. 15(3), pages 591-598, June.
  6. 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., John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  7. 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, Emerald Group Publishing, vol. 38(1), pages 50-69, December.
  8. 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, American Statistical Association, vol. 20(1), pages 25-44, January.
  9. M. Thea Sinclair, 1998. "Tourism and economic development: A survey," Journal of Development Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 34(5), pages 1-51.
  10. Jeroen J.M. Kremers & Neil R. Ericsson & Juan J. Dolado, 1992. "The power of cointegration tests," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 431, Board of Governors of the Federal Reserve System (U.S.).
  11. Lokman Gunduz & Abdulnasser Hatemi-J, 2005. "Is the tourism-led growth hypothesis valid for Turkey?," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(8), pages 499-504.
  12. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 91-3, Federal Reserve Bank of Chicago.
  13. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  14. 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, Monash University, Department of Economics 11/06, Monash University, Department of Economics.
  15. Roger Perman, 1991. "Cointegration: An Introduction to the Literature," Journal of Economic Studies, Emerald Group Publishing, Emerald Group Publishing, vol. 18(3), pages 3-30, September.
  16. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 2(2), pages 111-120, July.
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