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.
This is a preview of subscription content, log in to check access.
Buy single article
Instant access to the full article PDF.
Price includes VAT for USA
Subscribe to journal
Immediate online access to all issues from 2019. Subscription will auto renew annually.
This is the net price. Taxes to be calculated in checkout.
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.
In this regard, Brida et al. (2016) offer an excellent survey of the existing literature on the link between tourism activity and economic growth.
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).
Data on international tourist arrivals to the US can be found at the website http://travel.trade.gov/research/monthly/arrivals/index.asp.
More detailed information on monthly real GDP by Macroeconomic Advisers can be obtained from the website http://www.macroadvisers.com/assets/MonthlyGDPdescription.pdf.
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.
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.
Antonakakis N, Floros C (2016) Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom. Int Rev Financ Anal 44:111–122
Antonakakis N, Dragouni M, Filis G (2015a) How strong is the linkage between tourism and economic growth in Europe? Econ Model 44:142–155
Antonakakis N, Dragouni M, Filis G (2015b) Tourism and growth: the times they are a-changing. Ann Tour Res 50:165–169
Baker SR, Bloom N, Davis SJ (2012) Measuring economic policy uncertainty. Available at http://www.policyuncertainty.com
Balaguer J, Cantavella-Jordá M (2002) Tourism as a long-run economic growth factor: the Spanish case. Appl Econ 34:877–884
Balli F, Shahzad SJH, Uddin GS (2018) A tale of two shocks: what do we learn from the impacts of economic policy uncertainties on tourism? Tour Manag 68:470–475
Becken S, Lennox J (2012) Implications of a long-term increase in oil prices for tourism. Tour Manag 33:133–142
Bloom N (2009) The impact of uncertainty shocks. Econometrica 77:623–685
Brida JG, Punzo LF, Risso WA (2011) Tourism as a factor of growth: the case of Brazil. Tour Econ 17:1375–1386
Brida JG, Cortés-Jiménez I, Pulina M (2016) Has the tourism-led growth hypothesis been validated? A literature review. Curr Issue Tour 19:1–37
Chatziantoniou I, Filis G, Eeckels B, Apostolakis A (2013) Oil prices, tourism income and economic growth: a structural VAR approach for European Mediterranean countries. Tour Manag 36:331–341
Chen C-F, Chiou-Wei SZ (2009) Tourism expansion, tourism uncertainty and economic growth: new evidence from Taiwan and Korea. Tour Manag 30:812–818
Cortés-Jiménez I, Pulina M (2010) Inbound tourism and long-run economic growth. Curr Issue Tour 13:61–74
Cortés-Jiménez I, Nowak J-J, Sahli M (2011) Mass beach tourism and economic growth: lessons from Tunisia. Tour Econ 17:531–547
Davis SJ (2016) An index of global economic policy uncertainty. Working paper 22740, National Bureau of economic research (NBER), October 2016
De Vita G (2014) The long-run impact of exchange rate regimes on international tourism flows. Tour Manag 45:226–233
Demir E, Gozgor G (2018) Does economic policy uncertainty affect tourism? Ann Tour Res 69:15–17
Diebold FX, Yilmaz K (2012) Better to give than to receive: predictive directional measurement of volatility spillovers. Int J Forecast 28:57–66
Dragomiretskiy K, Zosso D (2014) Variational mode decomposition. IEEE Trans Signal Process 62:531–544
Dragouni M, Filis G, Gavriilidis K, Santamaría D (2016) Sentiment, mood and outbound tourism demand. Ann Tour Res 60:80–96
Dwyer L, Forsyth P, Rao P (2002) Destination price competitiveness: exchange rate changes versus domestic inflation. J Travel Res 40:328–336
Ertugrul MH, Mangir F (2015) The tourism-led growth hypothesis: empirical evidence from Turkey. Curr Issue Tour 18:633–646
Fengler MR, Isler KIM (2015) A variance spillover analysis without covariances: what do we miss? J Int Money Financ 51:174–195
Gozgor G, Demir E (2018) The effects of economic policy uncertainty on outbound travel expenditures. J Compet 10(3):5–15
Gozgor G, Ongan S (2017) Economic policy uncertainty and tourism demand: empirical evidence from the USA. Int J Tour Res 19:99–106
Gunduz L, Hatemi-J A (2005) Is the tourism-led growth hypothesis valid for Turkey? Appl Econ Lett 12:499–504
Hamilton JD (2018) Why you should never use the Hodrick-Prescott filter. Rev Econ Stat 100(5):831–843
Jackman M (2012) Revisiting the tourism-led growth hypothesis for Barbados: a disaggregated market approach. Reg Sect Econ Stud 12:15–26
Jansen WJ, Nahuis NJ (2003) The stock market and consumer confidence: European evidence. Econ Lett 79:89–98
Kadir N, Jusoff K (2010) The cointegration and causality tests for tourism and trade in Malaysia. Int J Econ Financ 2:138–143
Kang SH, McIver R, Yoon S-M (2017) Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. Energy Econ 62:19–32
Katircioglu ST (2009) Revisiting the tourism-led-growth hypothesis for Turkey using the bounds test and Johansen approach for cointegration. Tour Manag 30:17–20
Khan H, Toh RS, Chua L (2005) Tourism and trade: Cointegration and granger causality tests. J Travel Res 44:171–176
Koop G, Pesaran MH, Potter SM (1996) Impulse response analysis in nonlinear multivariate models. J Econ 74:119–147
Lee CG (2012) Tourism, trade, and income: evidence from Singapore. Anatolia 23:348–358
Oh CO (2005) The contribution of tourism development to economic growth in the Korean economy. Tour Manag 26:39–44
Payne JE, Mervar A (2010) The tourism-growth nexus in Croatia. Tour Econ 14:1089–1094
Perron P (1997) Further evidence on breaking trend functions in macroeconomic variables. J Econ 80(2):355–385
Pesaran HH, Shin Y (1998) Generalized impulse response analysis in linear multivariate models. Econ Lett 58:17–29
Selvanathan S, Selvanathan EA, Viswanathan B (2012) Causality between foreign direct investment and tourism: empirical evidence from India. Tour Anal 17:91–98
Shahzad SJH, Shahbaz M, Ferrer R, Kumar RR (2017) Tourism-led growth hypothesis in the top ten tourist destinations: new evidence using the quantile-on-quantile approach. Tour Manag 60:223–232
Tang CF, Abosedra S (2016) Tourism and growth in Lebanon: new evidence from bootstrap simulation and rolling causality approaches. Empir Econ 50:679–696
Tang CF, Tan EC (2015) Does tourism effectively stimulate Malaysia’s economic growth? Tour Manag 46:158–163
United States National Travel and Tourism Office (2015). International Visitation to the United States: A statistical summary of U.S. Visitation 2015. Available at http://tinet.ita.doc.gov/outreachpages/download_data_table/2015_Visitation_Report.pdf
World Travel & Tourism Council (2017). Travel & Tourism: Global economic impact & issues 2017. Available at https://www.wttc.org/-/media/files/reports/economic-impact-research/2017-documents/global-economic-impact-and-issues-2017.pdf
Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
Electronic supplementary material
About this article
Cite this article
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
- Tourism growth
- Economic growth
- Economic policy uncertainty
- Tourism-led growth hypothesis
- Spillover effects