충격에 따른 시변변동성의 규모와 지속성의 지역별 차이를 분석한 방한 관광수요에 대한 연구

Addressing the effect of unexpected shock on the inbound tourism demand, most of previous studies focus on the shift of aggregated demand, whereas the price effect of the shock is transmitted to the exchange rate volatility. Consequently, those analyses with the aggregated data, de facto, postulated homogeneous responses among incoming tourists against the shock in light of time-varying volatility clustering even though incoming tourists were from the various countries all over the world. In this paper, we examined the presence of heterogeneous responses in terms of the magnitude volatility as well as the persistence of clustering. We use the monthly data, spanning from 2001to 2010, of the inbound tourists from nine different countries: Japan, Philippines, Thai, Singapore, China, Taiwan,Hong Kong, US, and Canada. Considering cultural similarities and regional proximities, we divided them into four groups such as Japan, Asian Region (Philippines, Thai, Singapore), Greater China (China, Taiwan, Hong Kong) and America(Canada, US). Controlling the seasonal effect, trend, cyclicality, and the income level, we identified the suitable forecasting models for each group: TGARCH for Japan, EGARCH for Asian region, GARCH for Greater China, EGARCH for America, respectively. Then, we found out the statistically significant difference with respect to the persistence of time varying volatility between America and other three groups. Also, we divided the shocks into negative and positive part to test the effects of feature of shocks. Interestingly, the negative shock was found to amplify the magnitude larger than the positive shock. These results may indicate that the nearer the incoming tourists are from, the longer is the shock felt among them. In contrast, tourists were more influenced by the negative shock than the positive one, but subject to the short-term memory.