Role of Monetary Policy in the Nonlinearity and Persistent Effect of Inbound Tourism in Taiwan

台灣入境旅遊的非線性和持續性效果：貨幣政策的作用

10.7086/TJAE.202406_(115).0006

Chin-Mei Chou(周錦梅)

Persistence of Inbound Tourism ； Monetary Policy ； Threshold Effect ； Panel Smooth Transition Autoregressive Model ； 入境旅遊持續性 ； 貨幣政策 ； 門檻效果 ； 縱橫平滑轉換自我迴歸模型

應用經濟論叢

115期（2024 / 06 / 01）

279 - 310

英文;繁體中文

This study adopts a nonlinear panel smooth transition autoregressive model (PSTAR) model with monetary policy as the transition variable. This model is used to test hypotheses on inbound tourism in Taiwan and its long-term evolution. In addition, we evaluate whether monetary policy has exerted a threshold effect on inbound tourists to Taiwan; to do so, we examine inbound tourist arrivals from 12 major countries from 2001 to 2017 as the research samples. The empirical results indicated Taiwan's monetary policy has persistently exhibited a nonlinear dynamic relationship with domestic tourism demand, and this relationship has evolved differently depending on visitors' country of origin and visiting period. In addition, regardless of whether the real interest rate differential model or the real effective exchange rate return model is used, past inbound tourism in Taiwan explains at least 91% of the variance of the current volume of inbound tourism, and this effect intensifies if the model's transition variables exceed their threshold.

本文採用非線性的縱橫平滑轉換自我迴歸（panel smooth transition autoregressive model, PSTAR）模型，並選擇貨幣政策為模型轉換變數檢驗台灣入境旅遊與持續性變化，評估2001年至2017年12個主要來台旅遊的國家為研究樣本，探討貨幣政策是否對台灣入境旅遊具有門檻效果。實證結果顯示國家的貨幣政策對台灣旅遊需求持續性表現出非線性動態過程，且是隨著時間的推移和不同旅遊來源國家存在著的不同的變化。另外，無論於實質利差模型或實質有效匯率指數報酬模型，過去的台灣入境旅遊對當期的入境旅遊至少存在91%以上持續效果，且持續效果隨著模型轉換變數超過門檻值會有擴大的情形。最後，相對於實質有效匯率指數報酬為轉換變數的模型，實質利差為轉換變數的模型對於入境旅遊持續性的影響速度更為快速。

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