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A Dynamic Correlation Approach of the Swiss Tourism Income


  • Leon, Costas
  • Eeckels, Bruno


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.

Suggested Citation

  • Leon, Costas & Eeckels, Bruno, 2009. "A Dynamic Correlation Approach of the Swiss Tourism Income," MPRA Paper 15215, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:15215

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    References listed on IDEAS

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    Cited by:

    1. Christina Beneki & Bruno Eeckels & Costas Leon, 2012. "Signal Extraction and Forecasting of the UK Tourism Income Time Series: A Singular Spectrum Analysis Approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(5), pages 391-400, August.

    More about this item


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

    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

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