Examining the Relationship Between Tourism Index Return and Financial, Macroeconomic and Tourism Industry Development Indicators: An Application of MS-VAR Models
POLITICKA EKONOMIE, cilt.72, sa.4, ss.626-652, 2024 (SSCI)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 72 Sayı: 4
- Basım Tarihi: 2024
- Doi Numarası: 10.18267/j.polek.1424
- Dergi Adı: POLITICKA EKONOMIE
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, ABI/INFORM, EconLit, PAIS International, Political Science Complete, Sociological abstracts, Worldwide Political Science Abstracts
- Sayfa Sayıları: ss.626-652
- Akdeniz Üniversitesi Adresli: Evet
Özet
The tourism industry has flourished considerably over the years in Turkey and has competed with
top international destinations. This study aims to identify the structural breaks specific to Turkey
with a developing capital market and examine the causality relationship between tourism
index return and financial, macroeconomic and tourism industry development indicators from
January 2005 to February 2022. The MS-VAR econometric model based on two regimes detects
nonlinear and asymmetrical structures in the dataset. Our findings indicate local effects of shocks
on financial and macroeconomic indicators during regime transition periods. Furthermore, there
are unidirectional causality relationships between real exchange rate, tourism index returns and
the value of trading volume, but no relationship is found between tourism index return and other
indicators, namely, bank loans granted to the tourism industry and tourist arrivals.