have trading rule profits in the currency markets declined over time abstract previous studies have reported mixed results regarding the success of technical trading rules in currency markets abnormal returns were observed in many studies using data up to the mid 1980s while more recent studies generally report less success for technical trading rules this paper tests whether moving average trading rule profits have declined over the period from 1971 to 2000 if so previous profits may represent a temporary inefficiency that has since been eliminated in the currency markets the hypothesis is tested using 18 exchange rate series over a longer time period than in previous studies rules are optimized for successive 5 year in sample periods from 1971 to 1995 and tested over subsequent 5 year out of sample periods results show that risk adjusted trading rule profits have declined over time from an average of over 3 in the late 1970s and early 1980s to about zero in the 1990s thus market inefficiencies reported in previous studies may have been only temporary inefficiencies

the environmental economic impact of woodland a two stage hedonic price model of the amenity value of forestry in britain woodland is an important part of the environment providing economic benefits through its use in commercial timber production and through its value as an amenity as well as providing recreation for visitors woodland is also important to local residents for whom it provides leisure opportunities and a source of aesthetic enjoyment it is well known that the price of a house may reflect a household s willingness to pay to live near an environmental amenity such as a forest and to gain access to it the nature of this relationship may be examined by applying the hedonic price technique an econometric method which investigates house prices and the variation in structural and environment characteristics over space this study uses a two stage hedonic price model to explore the impact of forest type on house price and to estimate the demand for broadleaved woodland for a sample of houses adjacent to forestry commission land

intraday technical trading in the foreign exchange market this paper examines the out of sample performance of intraday technical trading strategies selected using two methodologies a genetic program and an optimized linear forecasting model when realistic transaction costs and trading hours are taken into account we find no evidence of excess returns to the trading rules derived with either methodology thus our results are consistent with market efficiency we do however find that the trading rules discover some remarkably stable patterns in the data

china as a reserve sink the evidence from offset and sterilization coefficients china has been stockpiling international reserves at an extremely rapid pace since the late 1990s and has surpassed japan to become the largest reserve holder in the world this paper undertakes an empirical investigation to assess the extent of de facto sterilization and capital mobility using monthly data between mid 2000 and late 2008 we find that china has been able to successfully sterilize a large portion of these reserve increases thus making it a reserve sink such as germany was under the bretton wood system

tourism demand forecasting models choice of appropriate variable to represent tourists cost of living abstract price is generally regarded as a major determinant of demand tourism has two price elements the cost of travel to the destination and the cost of living for tourists in the destination previous studies where econometric forecasting models have been developed for international tourism demand usually take the consumer price index in a country to be a proxy for the cost of tourism in that country owing to lack of appropriate data this article attempts to evaluate the performance of proxy variables compared with a specific tourists cost of living variable within the context of tourism demand forecasting models

demand for rural tourism the effects of quality and information the development of rural tourism is regarded as a promising diversification strategy especially for lagging and mountainous areas of the european union research concerning the demand and or supply of rural tourism services has been limited within the agricultural economics domain despite the significance attached to rural tourism by various rural development policy measures and initiatives the article examines the expenditure behavior of rural tourists within a framework of demand for composite heterogeneous goods the proposed framework captures the quality of the tourism experience as the commodity s unit value a quantifiable economic variable examines its effects on expenditures and allows for the estimation of elasticity in prices regarding expenditure and quantity empirical analysis is facilitated by a survey recording the expenditure behavior of 465 tourists in two rural and lagging areas of greece the quality of the tourism experience is significantly and positively affected by the income the source from which information about the trip is retrieved internet newspapers as well as general press and special travel press and by the amount of information sought by the consumer prior to the trip in turn the quality of the tourism experience is the major endogenous factor that positively influences expenditures for rural tourism further research is needed before evidence provided in this work can be used to draw policy conclusions and recommendations

the asset market model of the balance of payments and the exchange rate a survey of empirical evidence abstract the purpose of this survey is to assemble and evaluate empirical evidence on the asset market model of the balance of payments and the exchange rate in section i the distinctive features of asset market models are compared with earlier keynesian models particular attention is directed to the assumptions and predictions of the monetary model which is a special and well known case of more general asset market models and thereby serves as a useful benchmark for discussion in sections ii and iii the empirical evidence under fixed and flexible exchange rates is evaluated the paper is concluded in section iv with an assessment of our current state of knowledge

british tourism demand elasticities in mediterranean countries we use the almost ideal demand system aids model developed by deaton and muellbauer 1980 to estimate tourism demand elasticities for a number of mediterranean countries cyprus greece italy malta portugal spain and turkey in relation to tourists originating from the united kingdom during the period 1963 to 2009 using the restrictions imposed by theory we find that the model is able to explain developments in market shares reasonably well despite the large and at times sudden changes in market shares over the sample period our share estimates indicate that while spain and portugal managed to keep a stable market share over time malta and especially italy lost market share to cyprus greece and turkey overall we observe that italy and spain have the lowest own price elasticities whereas greece portugal spain and turkey are expenditure inelastic holiday destinations we also improve over the traditional treatment of the aids model in the literature by studying the stability of the estimat

a model of tourism destination choice a theoretical and empirical analysis abstract in recent years tourism has become one of the fastest growing sectors of the world economy and is widely recognised for its contribution to regional and national economic development the main aim of the paper is to propose a methodological framework within which the impact of characteristics of a tourism product on foreign travel can be captured and analysed this is achieved by combining the lancasterian product characteristics approach with the koppelman s consumer transportation model within the proposed model the characteristics of the tourism product destination including quality of service advertising and political instability are combined to generate a perception feeling regarding the tourism destination in the mind of the tourists in order to measure these perceptions feelings and hence develop a preference ordering the model is estimated by utilising a conditional logit analysis the analysis is based on primary data collected from tourists visiting cyprus the conditional logit model generates the probability of revisit given the characteristics of tourists and the cyprus tourism product the paper extends further the lancaster product characteristics framework as applied to tourism by rugg rev econom stat 55 1 1973 64 morley ann tourism res 19 1992 250 and papatheodorou ann tourism res 28 2001 164 by including the neglected but from any viewpoint important political instability characteristic that is attached to the tourist product of cyprus the inclusion of product characteristics attributes in tourism analysis appear to strongly contribute towards the better understanding of travel choice behaviour

international monetary relations taking finance seriously in our book global capital markets integration crisis and growth we traced out the evolution of the international monetary system using the framework of the international monetary trilemma countries can enjoy at most two from the set exchange rate stability open capital markets and domestic monetary autonomy the events of the past decade or more highlight the further complications for this framework posed by financial stability issues here we update and qualify our prior analysis drawing on recent experience and research under the classical gold standard scant attention was paid to macro management either to stabilize output and employment or to ensure financial stability the interwar years highlighted the changing demands for modern central bank interventions in the economy financial instability followed by wwii left a world with sharply constricted financial markets and little private cross border capital mobility due to this historical accident the bretton woods system agreed in 1944 focused not at all on financial stability and focused on issues like adjustment exchange rate misalignment and international liquidity defined in terms of official not private capital account transactions post 1970s floating rates permitted but did not require liberalization of the capital account but the political equilibrium had shifted in favor of financial interests signaled by the push toward european integration and the later reform process in emerging markets starting in the 1990s this development however opened the door once again to domestic financial crises and their international transmission countries now become more susceptible to a new species of capital account crises fueled by bank and bond lending and its sudden withdrawal these developments in fact made evident a different financial trilemma countries can pick at most two from financial stability open capital markets and autonomy over domestic financial policy we distill the main lessons as to the interactions between the monetary and financial trilemmas and policies that could best address the resulting weaknesses

a micro analysis of business travel demand this study tests two hypothesis 1 that tax deductibility and the dual benefit nature of goods on the business pleasure borderline increases the demand for business travel and 2 that this dual benefit decreases price elasticity the study uses expenditure microdata and contrasts the behaviour of business travellers and pleasure travellers both groups are assumed to have indentical tastes but the expenditure behaviour of business travellers is modified by the role of the business trip as a factor of production the linear expenditure system les allocation model is applied to expenditures on individual goods at a particular tourist destination business travellers are shown to have higher expenditures than pleasure travellers for food lodging and local transportation minimum quantities estimated by the les are also higher for business travellers uncompensated price elasticities of business travellers are significantly smaller than that of pleasure travellers for local transportation clothing a

did rabuka s military coups have a permanent effect or a transitory effect on tourist expenditure in fiji evidence from vogelsang s structural break test abstract the central aim of this paper is to investigate whether the military coups instigated by major general sitiveni rabuka in 1987 had a permanent effect or a transitory effect on tourist expenditures in fiji to accomplish this aim we use the vogelsang econ theory 13 1997 818 test for one break in linear trending data the vogelsang test reveals 1988 as the year of the break and based on a suite of test statistics recommended by vogelsang we reject the unit root null leading to the conclusion that rabuka s coups had a transitory effect on tourist expenditure in fiji

technical trading rules in the european monetary system abstract using genetic programming we find trading rules that generate significant excess returns for three of four ems exchange rates over the out of sample period 1986 1996 permitting the rules to use information about the interest rate differential proved to be important the reduction in volatility resulting from the imposition of a narrower band may reduce trading rule profitability our results cannot be duplicated by commonly used moving average rules filter rules or by two rules designed to exploit known features of target zone rates there is no evidence that the excess returns are compensation for bearing systematic risk

performance of technical analysis in growth and small cap segments of the us equity market abstract a large universe of technical trading rules applied to a set of technology industry and small cap sector portfolios over the 1995 2010 period yields superior predictability after adjusting for data snooping bias in the first half of the sample period and delivers statistically significant profits for a number of portfolios when the transaction cost is assumed to be of small to moderate size technical analysis is not able to outperform the buy and hold approach for any portfolio in the set in the second half of the sample period the finding that the short term return predictability becomes much weaker in the more recent period suggests that the underlying segments of the equity market have become more efficient over time the fact that mechanical trading strategies have been futile after adjusting for data snooping bias for two samples of portfolios where technical analysis is most anticipated to succeed suggests that it is unlikely to have delivered abnormal returns in any other segment of the domestic equity market in the last decade

time varying risk premia volatility and technical trading rule profits evidence from foreign currency futures markets abstract this paper re examines the efficiency of foreign currency futures markets by evaluating the role of time varying risk premia and volatility in explaining technical trading rule profits the results show that large parts of the technical rule profits can be explained by the time varying risk premia estimated from a general model for the conditional capm the bootstrap distributions for the profits under the null model average one third to one half of the actual profits and enclose the actual profits well within the 90 confidence intervals time varying conditional volatility explains an additional 10 of the profits

economies of scale in the australian tourism industry the measurement of economies of scale in the tourism industry has not been done to this point as tourism is not a specific industry according to international statistical standards among many industries related to tourism four sectors accommodation transport retail trade and recreational services across six states and two territories from 1997 to 2007 are studied as they contribute nearly 70 of tourism output in australia by comparing regression results from the cobb douglas c d production function and the translog production function we find that there is evidence of increasing returns in transport retail trade and recreational services at the industry level however accommodation is characterized by constant returns to scale at the industry level as accommodation is responsible for the biggest share of tourism output this suggests that overall the tourism sector is not characterized by increasing returns we also find that the degrees of returns to scale from the c d and translog product

do momentum based strategies still work in foreign currency markets this paper examines the performance of momentum trading strategies in foreign exchange markets we find the well documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s our approach and findings are insensitive to the specification of the trading rule and the base currency for analysis finally we show that the performance is not due to a time varying risk premium but rather depends on the underlying autocorrelation structure of the currency returns in sum the results lend further support to prior momentum studies on equities the profitability to momentum based strategies holds for currencies as well

real exchange rates under alternative nominal exchange rate systems abstract the paper develops an equilibrium model of the determination of exchange rates the relative price of nontraded goods and the current account the focus is on the effects of various real and nominal disturbances and the conditions under which the nominal exchange rate system is neutral with respect to real variables in the economy the model demonstrates an assymetry in the roles of trade and nontraded goods in affecting exchange rates an econometric investigation of the raltion between the exchange rate system and the variability of real exchange rates provides some evidence against the neutrality hypothesis

trade credit exchange controls and monetary independence evidence from the united kingdom abstract this paper examines the responsiveness of trade credit movements to changes in interest rate differentials evidence from the united kingdom is presented and it is concluded that very large changes in interest differentials were required to induce trade credit movements comprising a substantial fraction of the bank of england s reserves

industry information diffusion and the lead lag effect in stock returns i argue that the slow diffusion of industry information is a leading cause of the lead lag effect in stock returns i find that the lead lag effect between big firms and small firms is predominantly an intra industry phenomenon moreover this effect is driven by sluggish adjustment to negative information and is robust to alternative determinants of the lead lag effect small less competitive and neglected industries experience a more pronounced lead lag effect the lead lag effect is related to the post announcement drift of small firms following the earnings releases of big firms within the industry

tourism demand modelling and forecasting a review of recent research abstract this paper reviews the published studies on tourism demand modelling and forecasting since 2000 one of the key findings of this review is that the methods used in analysing and forecasting the demand for tourism have been more diverse than those identified by other review articles in addition to the most popular time series and econometric models a number of new techniques have emerged in the literature however as far as the forecasting accuracy is concerned the study shows that there is no single model that consistently outperforms other models in all situations furthermore this study identifies some new research directions which include improving the forecasting accuracy through forecast combination integrating both qualitative and quantitative forecasting approaches tourism cycles and seasonality analysis events impact assessment and risk forecasting

a varying parameter emprical model of balance of payments determination under fixed exchange rates results for the uk and west germany the post war period and particularly the 1960s witnessed a marked increase in the degree of international capital mobility due to various factors empirical studies of international financial flows during the 1960s generally balance model of the external account is developed which structural instability a portfolio balance model of the external account is developed which allows a varying level of capital mobility and which nests the pure monetary model perfect capital mobility the upshot is a varying parameter empirical specification this is estimated for the uk and west germany using kalman filtering techniques the model performs well and indicates an upward trend in capital mobility over the period particularly after 1968

the significance of technical trading rule profits in the foreign exchange market a bootstrap approach abstract in this paper we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market we utilize a new data base currency futures contracts for the period 1976 1990 and we implement a new testing procedure based on bootstrap methodology our results suggest that simple technical trading rules have very often led to profits that are highly unusual splitting the entire sample period into three 5 year periods reveals that on average the profitability of some trading rules declined in the latest period although profits remained positive on average and significant in many cases jel f31 f47 g15

performance of moving average trading strategies over varying stock market conditions the finnish evidence this article examines the profitability of dual moving average crossover dmac trading strategies in the finnish stock market over the period 1996 to 2012 it contributes to the existing technical analysis literature by comparing for the first time the performance of dmac trading portfolios of individual stocks to the performance of index trading strategies based on trading on an index that consists of the same stocks the results show that their relative performance varies over time whereas previous studies have documented outperformance of index trading strategies over trading strategies of stock portfolios moreover the great majority of 3020 dmac strategies examined in this article outperform the corresponding buy and hold b and h strategy for both trading targets i e omx helsinki 25 index and individual stocks included in the index in out of sample tests in addition the decomposition of the full sample period performance into separate bull and bear period performance shows clearly that th

a cge assessment of singapore s tourism policies abstract the extraordinary performance of the singapore tourism industry is attributed among other factors to the active tourism policies of the singapore government but the effectiveness of singapore tourism policies has never been quantified by building a cge model for the singapore economy with an emphasis on tourism and utilising the recently published singapore input output tables and tourism survey data this study has gauged economic impact of singapore inbound tourism and the effectiveness of singapore tourism policies based on the simulated macroeconomic and sectoral effects the modelling results show that in terms of both real gdp and total tourism expenditure tourism gst deduction is the most effective policy followed by the tourism activity subsidy policy the tourism industry subsidy policy is proven to be the least effective since different tourism policies have different strengths and weaknesses a balanced and focused approach to tourism policy is suggested for policy makers

using genetic algorithms to find technical trading rules1 abstract we use a genetic algorithm to learn technical trading rules for the s p 500 index using daily prices from 1928 to 1995 after transaction costs the rules do not earn consistent excess returns over a simple buy and hold strategy in the out of sample test periods the rules are able to identify periods to be in the index when daily returns are positive and volatility is low and out when the reverse is true these latter results can largely be explained by low order serial correlation in stock index returns

income and the substitution pattern between domestic and international tourism demand this article analyses the role of income in the decision of participating in the tourism demand within 1 year the tourists who are participating can travel to domestic destinations only abroad destinations only or to both of them such a substitution pattern is modelled using a bivariate probit model the analysis is carried out to the regional level using a survey conducted in 15 european eu 15 countries in addition to the traditional socioeconomic variables the analysis adds new variables to the outbound tourism demand modelling such as the attributes of the place of residence the results show that tourism demand is income elastic however there are marked differences in the income elasticities of the probabilities of travelling domestically or abroad above certain income threshold the substitution pattern between destinations takes part the probability of travelling domestically only remains constant whereas the probability of travelling abroad keeps growing additionally the article prov

consumer behaviour theory and empirical evidence a survey this survey is designed to emphasize the relationship between empirical a nd theoretical considerations in the analysis of consumer behavior a lthough it focuses primarily on analysis at the individual or micro l evel it tries where possible to draw implications for the estimati on of aggregate relationships the importance of micro level analysis stems from the rapid expansion in available panel and survey data se ts this development has generated its own theoretical and empirical issues many of which are raised in this survey copyright 1988 by royal economic society

the price competitive position of mediterranean countries in tourism evidence from the thomson brochure abstract tourism in the mediterranean region is highly dependent on the few large mass market tour operators situated in the north european tourist originating countries price competition is intense both between the tour operators and between the mediterranean countries themselves this paper uses the hotel package prices listed in the thomson summer and winter brochures to develop relative price indexes of each mediterranean country with respect to the mediterranean average indexes are developed in the 3 star 4 star 5 star 7 nights and 14 nights half board holiday packages the prices in the thomson brochure can be regarded as a unified internally consistent set of price data compiled by the largest uk tour operator and offered to uk tourists desiring a thomson summer holiday the change through time of the competitive relative price ranking of hotels regions and countries listed in the thomson brochure may be regarded as an important competitive indicator by industry operators and national policy makers concerned about tourism development

concentration potential entry and performance in the airline industry airline markets do not satisfy the theoretical conditions for perfect contestability and theory does not indicate which deviations from perfect contestibilty significantly affect performance thus the effect of potential entry on performance in airline markets is explored empirically the best model for explaining fares is found to be one in which the measure of market concentration takes into account not only the number and size distribution of incumbents but also the number of potential entrants not significantly disadvantaged due to economies of scale and scope the hypothesis that all city pair markets are perfectly contestable is rejected coauthors are richard l johnson andrew s joskow gregory j werden and michael a williams copyright 1989 by blackwell publishing ltd

holiday taking and income this paper is the first attempt to estimate the determinants of holiday taking across several countries to accomplish this a two stage estimation procedure is employed which enables incongruous income categories to be transformed into a single income variable it is found that in the mid 1980s there was a substantial similarity in the holiday taking behaviour of europeans the large national differences in holiday participation are explained by differences in income and demographic factors a remarkable regularity in the responsiveness of the probability of holiday taking to marginal changes in income is found

time varying risk interest rates and exchange rates in general equilibrium under mild assumptions the data indicate that time varying risk is the primary force driving nominal interest rate differentials on currency denominated bonds this finding is an immediate implication of the fact that exchange rates are roughly random walks a general equilibrium monetary model with an endogenous source of risk variation a variable degree of asset market segmentation can produce key features of actual interest rates and exchange rates in this model the endogenous segmentation arises from a fixed cost for agents to exchange money for assets as inflation varies so does the benefit of asset market participation and that changes the fraction of agents participating these effects lead the risk premium to vary systematically with the level of inflation this model produces variation in the risk premium even though the fundamental shocks have constant conditional variances

an empirical analysis of the influence of macroeconomic determinants on world tourism demand abstract this paper considers three econometric models to determine the relationship between macroeconomic variables and tourism demand tourism demand is measured by the inbound visitor s population and also by on the ground expenditures the database is an unbalanced panel of 218 countries over the period 1995 2012 there is evidence that an increase in the world s gdp per capita a depreciation of the national currency and a decline of relative domestic prices do help boost tourism demand the world s gdp per capita is more important when explaining arrivals but relative prices become more important when we use expenditures as the proxy for tourism demand we cannot reject the hypothesis of a relative prices unitary elasticity of expenditures additionally we have partitioned our data by income level and by continent results are robust in the first partition but less robust in the second although the main conclusions still hold finally we draw policy implications from our findings

terrorism and attitudes towards minorities the effect of the theo van gogh murder on house prices in amsterdam abstract does fundamentalist islamic terrorism have an effect on the general attitudes towards muslim minorities we use the murder of theo van gogh as an event study to address this question specifically we use the hedonic market model and test for an effect on listed house prices in neighborhoods where more than 25 of the people belong to an ethnic minority from a muslim country type i relative to the other neighborhoods house prices in type i neighborhoods decreased in 10 months by about 3 with a widening gap over time our results are robust to several adjustments including using synthetic control groups finally we find evidence that segregation increased people belonging to the muslim minority were more likely to buy and less likely to sell a house in a type i neighborhood after the murder than before

forecasting long haul tourism demand for hong kong using error correction models forecasting accuracy is particularly important when forecasting tourism demand on account of the perishable nature of the product this study compares a range of forecasting models in the context of predicting annual tourist flows into hong kong from the major long haul markets of the us the uk germany and major short haul markets of china japan and taiwan econometric forecasting models considered included error correction models ecms based on permanent income life cycle pi lc hypothesis pi lc ecm and alternative cointegration approaches engle and granger 1987 johansen 1988 and ordinary least square ols approaches both autoregressive integrated moving average arima and no change model hereafter naive models are used as a benchmark time series model for accuracy comparisons it was hypothesized that pi lc ecm is a better forecasting model particularly for long haul tourism demand the objective of this article is to investigate whether the application of pi lc ecm could improve the

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

reserve flows and monetary autonomy under a fixed exchange rate the british experience under bretton woods abstractthis paper uses a stochastic intertemporal model to analyse reserve flows and monetary autonomy under a fixed exchange rate and applies the model to a study of the british experience under

consumer behaviour in greece an application of the almost ideal demand system this paper estimates the almost ideal demand system on greek data for the period 1960 1986 for seven commodity groups the results conform with earlier research findings that the homogeneity and symmetry restrictions of demand theory are broadly inconsistent with the data the imposition of the restrictions leads to substantial changes in the estimated elasticities in both the static and dynamic specifications the introduction of habit effects with lagged consumption supported statistically by the data led to plausible results leaving however the problem of rejection of homogeneity and symmetry intact

potential competition in the deregulated airlines using a new and unique data set this paper applies a systems approach to the study of potential competition prices and entry relations in airline city pair markets consistent with limit pricing models future entry is directly influenced by current prices current prices thus appear to provide an important signal to potential entrants about the probability of profitable entry while results indicate the existence of barriers to entry these barriers appear to have no independent effects on price beyond there effect on actual competition through increases in concentration copyright 1990 by mit press

the demand for international tourism in the mediterranean region the paper studies the demand for international tourism in the mediterranean region first a review of the most important attempts to model econometrically the demand for international tourism in the past is given followed by a formal presentation of the proposed theoretical model in particular a version of the almost ideal demand system aids is adopted and a description of the variables involved and their sources together with the estimation procedure are provided the diagrammatic analysis performed contributes to a better understanding of the evolution of the dependent variable over time the results with respect to the expenditure as well as to the own and cross price elasticities may be regarded as econometrically satisfactory and a reasonable economic explanation is given

candlestick technical trading strategies can they create value for investors abstract we conduct the first robust study of the oldest known form of technical analysis candlestick charting candlestick technical analysis is a short term timing technique that generates signals based on the relationship between open high low and close prices using an extension of the bootstrap methodology which allows for the generation of random open high low and close prices we find that candlestick trading strategies do not have value for dow jones industrial average djia stocks this is further evidence that this market is informationally efficient

the ubiquity of room taxes abstract this article examines the case for the imposition of room taxes and attempts to explain their ubiquity the room tax is analysed using the main criteria for assessing taxes and is compared to property tax the extent of room tax imposition is surveyed and the possibilities of evasion are discussed

tests of restrictions in large demand systems abstract this paper compares some asymptotic tests of linear restrictions using exact results and monte carlo methods in systems which contain the same regressors in each equation it is found that under a variety of conditions a statistic suggested by deaton provides a better approximation to the true distribution in small sample situations than the wald likelihood ratio or lagrange multiplier tests

trading rule profits in european currency spot cross rates abstract the moving average ma trading rule is applied to six european spot cross rates jy bp dm bp jy dm sf dm sf bp and jy sf to see if opportunities for profitable trading exist the results suggest that ma trading rules are marginally profitable only for the jy dm and the jy sf cross rates while trading rules are not profitable for the other four cross rates bootstrapping and out of sample tests provide similar results examination of subsamples characterized by central bank intervention do not produce different results computation of box pierce statistics adjusted for heteroscedasticity show that daily returns for all six cross rates are serially uncorrelated overall the results suggests that cross rates are sufficiently transparent to eliminate ma trading rule profit

intraday technical analysis of individual stocks on the tokyo stock exchange abstract this paper conducts an intraday technical analysis of individual stocks listed on the nikkei 225 in addition to the price based technical rules popularly examined in the literature we uniquely propose and statistically investigate technical rules that utilize information regarding 1 the order flow imbalance and 2 the order book imbalance technical analysis using the imbalance based trading rules is motivated by the evidence presented first in this paper that short term returns can be predicted from the information regarding the order flow and order book imbalances for more than half of nikkei 225 listed stocks however we demonstrate that no strategies including limit order trading where trading signals are derived from the order book imbalance beat the buy and hold strategy within our sample the results imply that past prices and demand supply imbalances do not contribute to profiting in intraday trading and that non execution and picking off risks are too large for limit order trading to be profitable in our sample

tourism and economic development a survey this article surveys the literature on tourism and economic development identifying the contribution that tourism can make to development including foreign currency income and employment and the costs that it entails single equation and system of equations models for estimating tourism demand are provided indicating developing countries potential to benefit from increasing expenditure on tourism but their susceptibility to deterioration in price competitiveness the main sectors of tourism supply transportation tour operators travel agents and accommodation are examined and the importance of cross country integration between firms is highlighted the article argues that many of the problems associated with the use of environmental resources for tourism stem from market failure and it considers methods for increasing sustainably the returns from them

an applied analysis of brand demand structure the demand literature is concerned with the optimal allocation of expenditure at varied but usually high levels of commodity aggregation much less aggregation however is required for business applications in applied business settings interest centres upon the different brands of the same commodity because policy formulation takes place at the level of the individual brand this paper considers application of formal demand analysis to brand demand data a theoretically plausible demand system is invoked to describe inter brand allocation of expenditure test restrictions imposed by economic theory and yield empirically determined insights into brand demand structure

taxing tourism in developing countries abstract although tourism is an important industry in many developing countries where tax revenues are often in short supply surprisingly little attention has been paid to the taxation of the tourist industry this paper argues that in principle there is a strong economic case in many but not all countries for taxing tourism more than at present but that the nature of the industry and administrative difficulties severely limit what can be done in practice this analysis and a review of the fiscal instruments available to most developing countries suggest three main conclusions first more attention should be paid to introducing adequate charging policies where possible second special taxes on hotel accommodation are generally the key to tourist taxation and third there is little reason to provide special incentives for investment in the tourist industry

some new filter rule tests methods and results mechanical trading rules seem to have more potential than previous tests found fama and blume 1966 looking at the dow 30 of the late 1950s found no profits for the best vipercent rule after adjusting for transactions costs fifteen of these stocks looked profitable in their sample however for the same rule the surviving fourteen show statistically significant profits for 1970 1982 for transactions costs obtainable by floor traders the test used here assumes constant risk premia or more generally that risk premia are on average approximately the same on days in as for the total period

the use of technical analysis in the foreign exchange market abstract technica or chartist analysis of financial markets involves providing forecasts or trading advice on the basis of largely visual inspection of past prices without regard to any underlying economic or fundamental analysis this paper reports the results of a questionnaire survey conducted on behalf of the bank of england among chief foreign exchange dealers based in london in november 1988 amongst other findings it is revealed that at least 90 per cent of respondents place some weight on this form of non fundamental analysis when forming views at one or more time horizons there is also a skew towards reliance on technical as opposed to fundamentalist analysis at shorter horizons which becomes steadily reversed as the length of horizon considered is increased a very high proportion of chief dealers view technical and fundamental analysis as complementary forms of analysis and a substantial proportion suggest that technical advice may be self fulfilling jel f31

an analysis of consumption behaviour of foreign tourists in ireland the objective of this article is to analyse the consumption behaviour of foreign tourists in ireland based on the almost ideal demand system five demand systems are estimated four representing the major source markets of tourists to ireland namely from britain north america mainland europe and rest of the world and one aggregate model based on a pooled sample each system included six commodity aggregates representing the major consumables of tourists estimated models were statistically significant and the derived elasticities are theoretically consistent and empirically plausible while there are some variations in the consumption patterns of tourists from different source markets reflecting differences in consumer preferences and consumption habits in general tourist demand for the various irish tourism goods and services is found to be price inelastic this finding is consistent with a priori expectations as tourists are obliged to consume whatever is available at the destination they visit

economics of tourist s consumption behaviour some evidence from australia abstract this study analyses the consumption behaviour of international tourists from australia s four major source markets new zealand uk usa and japan a preliminary analysis of their consumption expenditures reveals intriguing similarities as well as diversities in consumption patterns these are sought to understand in terms of the utility maximising framework in which observed differences in prices and incomes play a key role based on the neoclassical economic theory of consumer behaviour models incorporating five major components of tourist consumption accommodation food transport shopping and entertainment are estimated overall the level of tourist consumption is found to be highly sensitive to incomes but less sensitive to prices the low price sensitivity suggests tourists perceive the commodities as necessities and may also reflect their captivity at the destination masking the underlying true price sensitivities an important dimension underlying these findings is the possible lack of information about the destination leading to sub optimal consumption choices

can we sterilize theory and evidence under managed floating as under the bretton woods system central banks have intervened heavily in the foreign exchange market as before they have often attempted to divorce their intervention activities from their money supplies through offsetting operations in domestic financial markets an official purchase of foreign exchange can be sterilized through a corresponding openmarket sale of domestic securities the transaction which is equivalent to an official forward sale of domestic currency leaves relative money supplies unchanged but alters the relative supplies of foreign and domestic currency bonds available to the public regardless of the exchange rate regime sterilized intervention may be viewed as an attempt to attain independent exchange rate and money stock targets in the short run for this to be possible bonds denominated in different currencies must be imperfect substitutes in private portfolios if feasible sterilization may or may not be useful in attaining the long run objectives of the central bank

an econometric study on estimation of trade shares using the almost ideal demand system in the world link the objectives of this paper are to analyse the import shares by country using the world trade matrix data for 25 countries regions of the world various methods for the analysis of import or export shares are used in the literature but none of the studies has made use of the approach of an almost ideal demand system aids deaton and muellbauer 1980 the results based on aids for import shares are plausible and when maximizing behaviour is not assumed estimation of import share equations by ordinary least squares is possible in the aids approach import shares turn out to be a function of real value of imports and export prices of major competitors homogeneity and symmetry restrictions can be tested and estimation with constraints can conducted using fiml full information maximum likelihood or equivalent methods the paper presents results for three important countries regions namely the usa japan and the eec as importing country regions and for major suppliers to each country region the impo

central bank intervention and trading rule profits in foreign exchange markets abstract moving average trading rules are utilized in both futures and spot foreign currency markets to show that significant positive profits can be earned in four of five currencies examined the results are consistent for both in sample and forward simulation tests regression results demonstrate that central bank intervention is strongly associated with the profitability of trading returns for the three major currencies dm yen and pound and partially explains returns for the sf and cd consistent with conjectures in previous studies that news concerning intervention tends to be revealed over weekends we find that moving average trading rule returns are significantly positive on fridays and mondays and not significantly different from zero in the middle of the week

asymmetric causality between australian inbound and outbound tourism flows abstractwe employ the asymmetric version of the granger causality test to assess how australian inbound and outbound tourism flows across 49 markets countries are driven by the sign dependent variations in departure series or vice versa a multivariate generalized autoregressive conditional heteroscedasticity mgarch model is also estimated to study the time varying co volatility between inbound and outbound tourism growth rates we find that rising co volatility spillovers between inbound and outbound tourism are statistically significant for a number of markets the six markets that are most susceptible to global shocks are china hong kong papua new guinea singapore south africa and the united kingdom china is by far the largest of these markets and except for the united kingdom both arrivals and departures for each of these countries represent growing markets for australia we present recommendations for policymakers and destination management organizations dmos to assist in developing cust

a system of equations model of uk tourism demand in neighbouring countries this paper uses a system of equations model to examine tourism demand during periods of destination country transition and integration into the wider international community the almost ideal demand system model is applied to the uk demand for tourism in the neighbouring destinations france spain and portugal spain and portugal are interesting cases as during the period under consideration they experienced a process of transition from economies with characteristics typical of developing countries only entering the world bank s industrialized countries classification in the 1980s the paper examines the evolution of tourism demand during these countries transition from developing to developed status consideration of france as a neighbouring destination also allows the behaviour of tourism demand to be compared between relatively rich and poor countries the results show the extent to which the cross country behaviour of demand becomes more or less similar over time with respect to changes in ex

international tourism and export instability export diversification has been suggested as a strategy for decreasing the level of export earnings instability which is experienced by many developing countries in recent years the international tourism sector has made an increasingly important contribution to the economies of many low income countries this article examines whether diversification into the non traditional tourism sector has succeeded in decreasing the instability of export earnings it was found that although tourism has the advantage of high growth rates and is a major source of foreign currency receipts earnings from international tourism did not bring about a significant decrease in the instability of export earnings of most of the developing and industrialised countries considered furthermore a net increase in the instability of earnings from tourism and merchandise exports occurred in a number of countries and may be a particular problem in small open developing economies

a retrospective on the bretton woods system lessons for international monetary reform at the close of the second world war when industrialized nations faced serious trade and financial imbalances delegates from forty four countries met in bretton woods new hampshire in order to reconstruct the international monetary system over the next 25 years with currencies fixed to the american dollar world trade expanded vigorously inflation remained moderate and national income in industrialized countries rose faster than during any other period in this volume three generations of scholars and policy makers some of whom participated in the 1944 conference consider how the bretton woods system contributed to economic stability and rapid growth between 1945 and 1971 and discuss the future of the international monetary system in light of the bretton woods experience since president richard m nixon ended the bretton woods system in 1971 exchange rates have exhibited increasing flexibility after twenty years of floating rates however there is considerable interest in once again limiting exchange rate flexibility the apparent success of the european monetary system a fixed rate arrangement loosely based on the postwar system and the prospect of european monetary unification increase interest in a new internationally stable exchange rate moreover some academics and government officials see fixed rates as a way to help eastern europe and the former soviet union cope with pressing economic and political problems the economists historians political scientists and policy makers who contribute to this volume relate the bretton woods system to earlier fixed rate schemes and consider the political background of the original new hampshire meeting using recenteconomic theory for example work on time consistency and credibility they explore adjustment liquidity and transmission under the system the way it affected developing countries and the role of the international monetary fund in maintaining a stable rate the authors examine th

impact of terrorism on tourism in turkey empirical evidence from turkey this article aims at investigating the causal impact of terrorist attacks on the tourism industry in turkey based on the autoregressive distributed lag ardl bounds testing procedure for the period between 1986 and 2006 the ardl bounds test reveals that tourism is in a long run equilibrium level relationship with terrorism the evidence obtained from the long run and short run parameter estimates indicates the existence of a negative causal effect of terrorism on tourism

speculative attack and the external constraint in a maximizing model of the balance of payments balance of payments models of speculative attack differ from non renewable resource models in that foreign exchange reserves may be borrowed from abroad this paper shows that in an idealized world where all private income is subject to lump sum taxation central bank reserves can become infinitely negative without violating the government s intertemporal budget constraint none the less a growth rate of domestic credit exceeding the world interest rate if maintained indefinitely leads to violation of the constraint in the paper s model given an assumed limit to official external borrowing the paper next analyses inevitable transitions between fixed and floating exchange rate regimes when individual preferences are explicitly specified in a discrete time deterministic model the collapse of a fixed rate may be characterized by two successive speculative attacks

surprising similarities recent monetary regimes of small economies in contrast to earlier recessions the monetary regimes of many small economies have not changed in the aftermath of the global financial crisis this is due in part to the fact that many small economies continue to use hard exchange rate fixes a reasonably durable regime however most of the new stability is due to countries that float with an inflation target though a few have left to join the eurozone no country has yet abandoned an inflation targeting regime under duress inflation targeting now represents a serious alternative to a hard exchange rate fix for small economies seeking monetary stability are there important differences between the economic outcomes of the two stable regimes i examine a panel of annual data from more than 170 countries from 2007 through 2012 and find that the macroeconomic and financial consequences of regime choice are surprisingly small consistent with the literature business cycles capital flows and other phenomena for hard fixers have been similar to those for inflation targeters during the global financial crisis and its aftermath

the market liquidity of diamonds q s and their underlying stocks abstract we investigate the market liquidity effects of the introduction of index tracking stocks for the dow jones industrial average diamonds and the nasdaq 100 index q s our main finding is liquidity of the underlying djia 30 index stocks improves after the introduction of the exchange traded fund largely because of a decline in the cost of informed trading further we find the diamonds has significantly lower liquidity costs over the first 50 days of trading as compared to the portfolio of its component stocks again primarily because of lower adverse selection costs finally we find weaker but qualitatively similar results for the q s

modelling us tourism demand for european destinations abstract an almost ideal demand system model is used to examine us demand for tourism in european destinations the model provides policy makers with useful information concerning the sensitivity of tourism demand to changes in relative prices exchange rates and expenditure the results show that price competitiveness is important for us demand for france italy and spain but is relatively unimportant for the uk france and italy are regarded as substitutes by us tourists as are spain and italy as us expenditure rises the market shares of spain and the uk decline while france and italy benefit the demand modelling and forecasting indicate that in the absence of a tourism price index the choice between alternative price indices does not have a significant effect on the results

monetary independence under bretton woods perspectives from a stochastic maximizing model research based on the kouri porter 1974 model of international capital flows suggests that the central banks of nonreserve countries enjoyed considerable monetary independence during the bretton woods era this paper is a theoretical and empirical reassessment of this conclusion using a stochastic maximizing model it is shown that the existence of imperfect asset substitutability does not guarantee monetary control at the empirical level the estimated offset coefficients for four industrialized countries are consistent with zero monetary independence

an interest rate defense of a fixed exchange rate defending a government s exchange rate commitment with active interest rate policy is not an option in first generation models of speculative attacks in those models the interest rate is the passive reflection of currency depreciation expectations in this paper we show how to adapt the first generation framework to allow for an interest rate defense it is shown that increasing domestic currency interest rate before the attack makes domestic assets more attractive according to an asset substitution effect but weakens the domestic currency by increasing the government s fiscal liabilities as a result an interest rate defense can be successful only conditional on sound fiscal policy

terror fear and behaviour in the jerusalem housing market this paper tests the hypothesis that fear is a central factor in understanding human behaviour in the face of terror this claim is addressed in the context of behaviour in the jerusalem housing market over the terror stricken years in the city 1999 2004 using a unique data source and the tools of spatial data analysis the paper provides support for this hypothesis in three respects first patterns of terror in the city are shown to be increasingly deconcentrated over the period studied secondly the types of terror having the sharpest effect on residential property prices are those most associated with randomness thirdly the effect of terror is less on purchasing prices than on rental prices the former represent revealed long term behaviour less affected by fear and the latter short term behaviour more likely to be influenced by such disutility the paper concludes with some of the policy implications arising from these findings

the adaptive markets hypothesis evidence from the foreign exchange market we analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true out of sample tests on previously studied rules the excess returns of the 1970s and 1980s were genuine and not just the result of data mining but these profit opportunities had disappeared by the early 1990s for filter and moving average rules returns to less studied rules also have declined but have probably not completely disappeared high volatility prevents precise estimation of mean returns these regularities are consistent with the adaptive markets hypothesis lo 2004 but not with the efficient markets hypothesis

testing equity market efficiency around terrorist attacks this article uses the nine major bombings since 1998 that have been attributed to al qaida to examine market efficiency including a test of rumours that investors traded with advance knowledge of attacks analysis of these related but individually unexpected events confirms markets are semi strong efficient it now takes well under a trading day to fully price in a completely unexpected attack on balance markets also proved strongly efficient with no conclusive evidence of insider trading

war terror and the tourism market in israel a supply and demand model of the israeli hotel industry is developed distinguishing between its domestic and foreign sectors model simulations are employed to examine the impacts of war and terrorist incidents on tourist activity and hotel revenues foreign demand for israeli hotel stays is highly price elastic and income inelastic and moderately sensitive to terrorist events domestic demand is price inelastic income elastic and terror insensitive in the wake of terror attacks hotels supply or minimum prices to israeli tourists shift downward reducing local market prices and encouraging more local tourism however the magnitude of these shifts is minor and the local market thus provides little buffer for dropoffs in foreign tourism by permitting excess capacity in such fashion hotels respond rationally to the price inelasticity of local demand

climate in the region of origin and destination choice in outbound tourism demand abstract this paper describes the relationship between regional climate in the home area and the choice of taking holidays in the region of origin or abroad this decision is simultaneously estimated with a bivariate probit model the study combines the socioeconomic characteristics of european households with information on the region of residence such as climate which is defined according to a new annualized climate index the estimated probabilities are analysed using gis and nonparametric techniques the results of modelling support the hypothesis that the climate in the region of residence is a strong determinant of holiday destination choice they show that residents in regions with better climate indices have a higher probability of travelling domestically and a lower probability of travelling abroad

is technical analysis in the foreign exchange market profitable a genetic programming approach using genetic programming techniques to find technical trading rules we find strong evidence of economically significant out of sample excess returns to those rules for each of six exchange rates over the period 1981 1995 further when the dollar deutsche mark rules are allowed to determine trades in the other markets there is significant improvement in performance in all cases except for the deutsche mark yen betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk bootstrapping results on the dollar deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models

an econometric study of tourism demand the aids model of us and european tourism in mediterranean countries the almost ideal demand system aids model was used to estimate tourism expenditure allocation by us and west european countries among a range of mediterranean destinations the approach has the advantage of an explicit basis in consumer expenditure theory and by modelling the changes in the budget shares of expenditure among destinations provides new information relative to that provided by the traditional single equation approach the estimated model was econometrically satisfactory although symmetry and homogeneity were rejected in line with the findings of past studies of consumer demand the expenditure elasticities demonstrated considerable differences in tourism demand preferences between origin countries and between traditional and newly developing destinations the own and cross price elasticities indicated the importance of effective prices in determining the allocation of expenditure among destinations

experience as a barrier to contestability in airline markets contrary to one of the predictions of the contestability hypothesis price in deregulated u s passenger airline markets is related to actual competition from diversifying former intrastates and newly established carriers more important former intrastates have a larger impact on price than do newly established firms a result consistent with these markets being imperfectly competitive because of an industry experience barrier to entry unlike actual competition a measure of potential competition has no effect in constraining price copyright 1989 by mit press

tourism as a factor in development cooperation abstract where there is little or no industrial or agricultural base and no exploitable resource tourism may make a significant contribution to the economy of a developing country the eec provides aid to developing countries in three areas the southern mediterranean asia and latin america and africa the caribbean and the pacific the commission has produced guidelines for drawing up proposals and a typical example is presented in this article the eec also supplies high quality expertise to help define policy options and strategic plans and carry out agreed programmes long term success is more likely for specialized high income projects

a note on the weak form efficiency of capital markets the application of simple technical trading rules to uk stock prices 1935 to 1994 abstract brock et al 1992 found technical trading rules to have predictive ability with regards to the dow jones index the current paper considers whether this result can be replicated on uk data the paper also considers whether investors could earn excess returns from technical analysis in a costly trading environment the paper concludes that although the technical trading rules examined do have predictive ability in terms of uk data their use would not allow investors to make excess returns in the presence of costly trading