The relationship between tourism index return, financial development, tourism industry growth and macroeconomic indicators: Application of MS-VAR Models

Helhel Y., Akgun E.

POLITICKA EKONOMIE, cilt.72, sa.2, ss.11-21, 2024 (SSCI)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 72 Sayı: 2
  • Basım Tarihi: 2024
  • 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.11-21
  • Akdeniz Üniversitesi Adresli: Evet

Özet

The tourism industry has flourished considerably over the years in Turkiye and has competed with top international destinations. This study aims to identify the structural breaks specific to Turkiye with a developing capital market and examine the causality relationship between tourism index return and financial, macroeconomic, and tourism industry development indicators for 2005M1 and 2022M2. MS-VAR econometric model based on two regimes detects nonlinear and asymmetrical structures in the dataset. Our findings indicate the 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.