다변량 자기회귀 조건부 異分散 모형을 이용한 방한 외래관광수요의 변동성 결정요인 분석

• 영문명: The Determinants of Volatility on In-bound Tourism Demand in Korea Using Multivariate Autoregressive Conditional Heteroskedasticity Model
• 발행기관: 한국관광학회
• 저자명: 박성용
• 간행물 정보: 『관광학연구』제31권 제2호, 29~47쪽, 전체 19쪽
• 주제분류: 사회과학 > 관광학
• 파일형태: PDF
• 발행일자: 2007.04.30

영문 초록

This paper analyzes tourism demand volatility and its determinants for South Korea’s in-bound tourism using Engle(2002)’s dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity(GARCH) model. In contrast to recent previous studies which deal with classic GARCH specifications, author examines effects of explanatory variables to tourism volatility by including those variables in the conditional variance equations exogenously. Costs of living in competing destinations were found giving significant negative effects to the U.S. tourism demand volatility. On the other hand, income level was uncovered having significant impacts on Japanese tourism demand volatility. Both the U.S. and Japanese tourism demand are found to have leverage effects

목차

I. 서론

II. 관광수요 변동성 모형의 설정

III. 자료의 분석

IV. 실증분석 결과

V. 결론

참고문헌

키워드

관광수요 변동성 다변량 GARCH 모형 변동조건부상관계수 Tourism demand Volatility Multivariate GA RCH mo del Time-varying co nditional co rrelation