Gan, Keng You
(2007)
Long run and short run cointegration relationship for tourist arrivals in Malaysia.
Masters thesis, Universiti Sains Malaysia.
Abstract
Pelancongan ialah satu sumber pendapatan penting tukaran asing bagi
kebanyakan negara di dunia. Kajian ini bertujuan menyelidik hubungan dinamik antara
bilangan ketibaan pelancong di Malaysia (TA) and pembolehubah yang terpilih bagi
sembilan negara terpilih; China, Eropah, Indonesia, Jepun, Arab Saudi, Singapura,
Thailand, United Kingdom (UK) and Amerika Syarikat.Tambahan pula, kajian ini
menyelidik hubugan antara bilangan ketibaan pelancong di Malaysia (TA) dan
pembolehubah terpilih dengan kewujudan dan pembolehubah patung eksogenus.
Dalam kajian ini, pembolehubah terpilih ialah Indeks Harga Pengguna negara
asal (CPI), kadar tukaran (EXR) Ringgit Malaysia kepada satu unit mata wang asing
negara asal, bilangan ketibaan pelancong dari negara asal ke destinasi pengganti
Singapura (SUBS) dan Thailand (SUBT). Data bulanan dari Januari 1999 hingga
September 2006 digunakan dalam analisis. Pembolehubah eksogenus adalah
pengeboman di Indonesia, letusan wabak SARS, serangan Pusat Perdagangan Dunia di
Bandaraya New York and suhu bagi negara asal. Penyelidikan dijalankan dengan
menggunakan prosedur piawai bagi menentukan hubungan jangka panjang dan jangka
pendek seperti ujian punca unit, ujian kointegrasi Johansen Juselius, model Vektor
Autoregrasi (VAR), ujian penyebab Ganger dan model Vector Pembetulan Ralat (VEC).
Tourism is an important source of foreign exchange earnings for many countries
in the world. This study aims to investigate the dynamic relationship between number of
tourist arrivals in Malaysia (TA) and the selected variables for nine selected countries;
China, Europe, Indonesia, Japan, Saudi Arabia, Singapore, Thailand, the United
Kingdom (UK) and the United States (US). Furthermore, this study investigates the
linkages between T A and the selected variables with and without the existence of the
exogenous dummy variables.
In this study, the selected variables are Consumer Price Index of origin country
(CPI), exchange rate (EXR) of Malaysia Ringgit to a unit of origin country currency,
number of tourist arrivals from origin country to substitute destination Singapore
(SUBS) and Thailand (SUBT). Monthly data from January 1999 to September 2006 is
used in the analysis. The exogenous dummy variables are bombing in Indonesia, severe
acute respiratory syndrome outbreak, attack on World Trade Center in New York City
and temperature of origin country. Investigation is carried out using standard procedures
for determining long run and short run relationship such as unit root test, Johansen and
Juselius cointegration test, Vector Autoregression (V AR) model, Granger causality test
and Vector Error Correction (VEC) model.
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