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Dynamic spillover effects among tourism, economic growth and macro-finance risk factors


This paper examines spillover effects among international tourism growth, economic growth and a group of major macroeconomic and financial variables in the US. The empirical results show significant interactions among tourism growth, economic growth and the selected macro-finance factors, which have notably increased following the intensification of the global financial crisis in the fall of 2008. Furthermore, international tourism growth in the US appears as the main net receiver of spillovers from macroeconomic factors, thus providing evidence contrary to the empirical validity of the tourism-led growth hypothesis for the US. However, real GDP growth is identified as a net transmitter of spillovers to the tourism growth, which supports, at least partly, the economic-driven tourism growth hypothesis for the US. Novel to the literature, global economic policy uncertainty is the most important transmitter of shocks to US tourism growth, suggesting that heightened uncertainty about economic policy may have especially harmful effects on international tourism flows.

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  1. 1.

    The generalized VAR framework represents a substantial improvement over the traditional Cholesky identification procedure used in standard VAR models, the results of which may be dependent on the ordering of variables.

  2. 2.

    In this regard, Brida et al. (2016) offer an excellent survey of the existing literature on the link between tourism activity and economic growth.

  3. 3.

    It is worth mentioning that both VMD and HP techniques can be used for the de-trending of time series. However, we opt for the application of VMD instead of HP based on the argument presented by Hamilton (2018). Specifically, this author highlights the shortcomings of HP filtering and encourages the use of better alternates. Furthermore, we employ VMD due to its advantages over other popular methods in this field such as wavelets (see online Appendix A for more details on VMD).

  4. 4.

    Data on international tourist arrivals to the US can be found at the website http://travel.trade.gov/research/monthly/arrivals/index.asp.

  5. 5.

    More detailed information on monthly real GDP by Macroeconomic Advisers can be obtained from the website http://www.macroadvisers.com/assets/MonthlyGDPdescription.pdf.

  6. 6.

    The time series plots and unit root properties of the variables are shown in Figure B.1 and Table B.1 in the online Appendix B. Table B1 presents the results of the standard Augmented Dickey-Fuller and Phillips-Perron unit root tests and the Perron (1997) unit root test, which allows for a break at an unknown location in both the intercept and trend of each series. The results of the three unit root tests are identical in terms of stationarity properties of the series, although a break date is found for most time series during the period of the global financial crisis of 2007–2009.

  7. 7.

    We also perform several robustness checks to assess the reliability of our empirical findings. The results are shown in Figure B.2 in the online Appendix B, suggesting that the main findings are not sensitive to the choice of the forecast horizon, the width of the rolling window and the lag length of the generalized VAR model. In addition, we re-estimate spillover effects by deleting the months immediately following the 9/11 terrorist attacks, so that the new sample period covers March 2002 until the end of the sample. The results are virtually identical to those obtained for the full sample period, indicating that the 9/11 attacks did not have a dramatic effect on connectedness among international tourist arrivals to the US, GDP growth and the selected macro-financial variables.


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Correspondence to Syed Jawad Hussain Shahzad.

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Shahzad, S.J.H., Ferrer, R. Dynamic spillover effects among tourism, economic growth and macro-finance risk factors. Port Econ J (2019). https://doi.org/10.1007/s10258-019-00165-0

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  • Tourism growth
  • Economic growth
  • Economic policy uncertainty
  • Tourism-led growth hypothesis
  • Spillover effects