Asymmetric effects of third-country exchange rate risk: A Markov switching approach
研究了第三国汇率波动对出境旅游需求的不对称影响，使用马尔可夫转换ARDL模型分析2002-2019年数据，发现长期和短期均存在非对称效应及结构变化。
The standard tourism demand models consider the effects of the bilateral real exchange rate between origin and destination in a linear context. Our study contributes to the literature by incorporating the asymmetric effects of real exchange rate volatility of home and third-countries. We propose a Markov Switching ARDL model to estimate outbound tourism demand over the period of 2002–2019. This model allows us to examine both the short- and long-run effects in the likely presence of asymmetric effects and structural breaks. The results reveal that there are nonlinear asymmetric long- and short-run effects of the third-countries exchange rate volatility. We also identify relevant structural changes coinciding with major events.