Long run and short run cointegration relationship for tourist arrivals in Malaysia

Gan, Keng You (2007) Long run and short run cointegration relationship for tourist arrivals in Malaysia. Masters thesis, Universiti Sains Malaysia.

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    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.

    Item Type: Thesis (Masters)
    Subjects: Q Science > QA Mathematics > QA1 Mathematics (General)
    Divisions: Pusat Pengajian Sains Matematik (School of Mathematical Sciences)
    Depositing User: Mr Noorazilan Noordin
    Date Deposited: 06 Jul 2017 16:44
    Last Modified: 06 Jul 2017 16:44
    URI: http://eprints.usm.my/id/eprint/35433

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