The effect of exchange rate uncertainty on the flow of tourism in Iran: A Stochastic volatility model with leverage effects and Mixed frequency Data Sampling (MIDAS) approach

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DASHTBAN FAROOJI MAJID; elyaspour behnam; Dashtban farooji Sahar

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Paper Information

Journal: JOURNAL OF TOURISM PLANNING AND DEVELOPMENT Year:2019 | Volume:8 | Issue:29 Page(s): 173-190

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Title

The effect of exchange rate uncertainty on the flow of tourism in Iran: A Stochastic volatility model with leverage effects and Mixed frequency Data Sampling (MIDAS) approach

Author(s)

DASHTBAN FAROOJI MAJID | elyaspour behnam | Dashtban farooji Sahar | Issue Writer Certificate

Keywords

Real Exchange RateQ1

Tourist FlowQ1

Stochastic Volatility Model with leverage effectQ1

Mixed frequency Data SamplingQ1

Abstract

With the expansion of the tourism industry, many countries have been able to improve their economic situation and resolve their economic problems, such as low per capita income, high unemployment and lack of foreign exchange earnings. Since tourism creates a very good source of income for a country, it can be considered as an industry. So, this results in a very broad concept in various economic, social and cultural dimensions. Therefore, this study examines the effect of exchange rate volatility on tourism flows in Iran based on seasonal and annual data during 1368-1394. For this, first, the Real Exchange Rate uncertainty is extracted using Stochastic Volatility Model with leverage effects. Then, to investigate the effect of Real Exchange Rate volatility on the flow of tourism, we will use Mixed frequency Data Sampling (MIDAS) approach. The results showed that the increase of Real Exchange Rate volatility as well as the increase of GDP have negative and positive effects, respectively, on the arrival of foreign tourists to Iran.

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APA: Copy

DASHTBAN FAROOJI, MAJID, elyaspour, behnam, & Dashtban farooji, Sahar. (2019). The effect of exchange rate uncertainty on the flow of tourism in Iran: A Stochastic volatility model with leverage effects and Mixed frequency Data Sampling (MIDAS) approach. JOURNAL OF TOURISM PLANNING AND DEVELOPMENT, 8(29 ), 173-190. SID. https://sid.ir/paper/375069/en

Vancouver: Copy

DASHTBAN FAROOJI MAJID, elyaspour behnam, Dashtban farooji Sahar. The effect of exchange rate uncertainty on the flow of tourism in Iran: A Stochastic volatility model with leverage effects and Mixed frequency Data Sampling (MIDAS) approach. JOURNAL OF TOURISM PLANNING AND DEVELOPMENT[Internet]. 2019;8(29 ):173-190. Available from: https://sid.ir/paper/375069/en

IEEE: Copy

MAJID DASHTBAN FAROOJI, behnam elyaspour, and Sahar Dashtban farooji, “The effect of exchange rate uncertainty on the flow of tourism in Iran: A Stochastic volatility model with leverage effects and Mixed frequency Data Sampling (MIDAS) approach,” JOURNAL OF TOURISM PLANNING AND DEVELOPMENT, vol. 8, no. 29 , pp. 173–190, 2019, [Online]. Available: https://sid.ir/paper/375069/en

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