Modelling Seasonal Short-Run Effects in Time-Series Tourism Prices

Journal of Risk and Financial Management

Sergej Gricar¹  Stefan Bojnec² 

[1] Faculty of Business and Management Science, University of Novo Mesto, Na Loko 2, SI-8000 Novo Mesto, Slovenia;Faculty of Management, University of Primorska, Izolska Vrata 2, SI-6101 Koper, Slovenia;

关键词: nominal to real price modelling;    cointegrated-vector-autoregressive-model;    Eurozone experiment;    time-series data;    macroeconomic prices;   

DOI  :  10.3390/jrfm15050212

来源: DOAJ

【 摘 要 】

The paper’s primary purpose is to better monitor shocks; therefore, reliable scientific methods should be used to predict, monitor, and implement those events. In this paper, tourism prices are studied as an economic, $I\left(2\right)$ and social phenomenon for better performance. The selection of inadequacies in price time series is analysed. The state-of-the-art proposed methodology step of nominal to real prices is based on monthly data using the cointegrated-vector-autoregressive model (CVAR). This is the key feature selection on time-series properties in the economy and supported software(s). An attempt at a CVAR model with five seasonally unadjusted macroeconomic variables is developed. It introduces a meaningful, genuine and indispensable new data vector of transformed variables, and this stepwise process is more appropriate against the wrong model specification. The results for the period of economic crises show that the proposed model is reliable from nominal to real prices, and the researchers implement normality to price modelling in its econometric mock-up phase. Overall, the proposed model predicts testable events for up to 48-months.

【 授权许可】

Unknown