stochastic equilibria existence spanning number and the no expected financial gain from trade hypothesis stochastic equilibria under uncertainty with continuous time security trading and consumption are demonstrated in a general setting a common question is whether the current price of a security is an unbiased predictor of the future price of the security plus intermediate dividends this is the hypothesis of no expected financial gains from trade the relevance of this hypothesis in multi good economies is called into question by the following demonstrated fact for each set of probability assessments there exists a corresponding equilibrium one with the original agents original equilibrium allocations and no expected financial gains from trade under the given probability assessments the spanning number of the economy is defined as the fewest number of security markets required to sustain a complete markets equilibrium in a dynamic sense made precise in the paper the spanning number is linked directly to agent primitives in particular the manner in which new information resolves uncertainty over time the spanning number is shown to be invariant under bounded changes in expectations several examples are given in which the spanning number is finite even though the number of potential states of the world is infinite

time series forecasts of international travel demand for australia abstract this paper analyses stationary and non stationary international tourism time series data by formally testing for the presence of unit roots and seasonal unit roots prior to estimation model selection and forecasting various box jenkins autoregressive integrated moving average arima models are estimated over the period 1975 1 1989 4 for tourist arrivals to australia from hong kong malaysia and singapore the mean absolute percentage error and root mean squared error rmse are used as measures of forecast accuracy as the best fitting arima model is found to have the lowest rmse this model is used to obtain post sample forecasts tourist arrivals data for 1990 1 1996 4 are compared with the forecast performance of the arima model for each origin market the fitted arima model forecasts tourist arrivals from singapore for the period 1990 1 1996 4 very well although the arima model outperforms the seasonal arima models for hong kong and malaysia the forecasts of tourist arrivals are not as accurate as in the case of singapore

impacts of crisis events on international tourism demand in thailand in thai this study assesses the impacts of nine major crisis events during 2001 2009 on the number of foreign tourists in thailand the sarima with intervention models and x 12 arima are applied the results show that each crisis had a different effect on the number of tourists depending on the duration of situation type of crisis and country of origin the disease outbreaks had a greater impact than the other crises but the degree of impact was likely to decrease should a similar outbreak occurs in contrast the impact from the internal political chaos was relatively small when it occurred for the first time but would be greater if it recurred the indian ocean tsunami of 2004 had a huge impact but recovery was faster than that of other crises the 9 11 event made a minimal impact on thai tourism based on the results it is suggested that solving the internal politics should be the first priority if government aims to enhance thailand s tourism industry in addition the measures used for solving crises should be designed to fit each foreign tourist markets diverse responsiveness

a general equilibrium model of portfolio insurance this article examines the effects of portfolio insurance on market and asset price dynamics in a general equilibrium continuous time model portfolio insurers are modeled as expected utility maximizing agents martingale methods are employed in solving the individual agents dynamic consumption portfolio problems comparisons are made between the optimal consumption processes optimally invested wealth and portfolio strategies of the portfolio insurers and normal agents at a general equilibrium level comparisons across economies reveal that the market volatility and risk premium are decreased and the asset and market price levels increased by the presence of portfolio insurance article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the dynamic effects of money combining short run and long run identifying restrictions using bayesian techniques this paper proposes a bayesian approach to incorporating specification and identification uncertainty into a var analysis of the dynamic effects of money supply shocks on the macroeconomy the approach follows poirier 1991 in averaging over discrete model specifications in forming posterior densities of the dynamic responses to such shocks two distinct means of identifying money supply shocks are considered here one that imposes contemporaneous restrictions and one that imposes long run monetary neutrality i estimate bounds on dynamic responses that account for specification and parameter uncertainty and find strong evidence of short run real effects of money on the economy including a liquidity effect for both long term and short term interest rates furthermore some results differ substantially across identifying restrictions if model uncertainty is ignored

are australia s tourism markets converging in this paper we make an important contribution towards understanding australia s tourism industry by examining whether or not australia s tourism markets are converging we define convergence as the reduction in tourist arrivals differential which is calculated as the difference between total visitor arrivals to a country and visitor arrivals from a particular tourist source market we analyze australia s thirteen major tourist source markets using monthly data over the period january 1991 to september 2003 to test for convergence we use the univariate and panel lagrange multiplier lm tests our main finding is that when we allow for two structural breaks in the data series both univariate and panel lm tests provide strong evidence for convergence of australia s tourism markets this implies that policies aimed at attracting visitor arrivals from any one of australia s thirteen tourist source markets will boost the volume of tourists coming into the country

a piecewise linear approach to modeling and forecasting demand for macau tourism abstract in this paper we construct and use a piecewise linear method to model and forecast on a monthly basis the demand for macau tourism data over the period january 1991 december 2005 and a seasonally adjusted series for tourism demand are used the study examines 4 forecasting horizons ranging from 6 to 24 months in advance mean absolute percentage errors and root mean square errors are adopted as criteria for evaluating the accuracy of the forecasting exercises finally the forecasts of piecewise linear model are compared with those of autoregressive trend model seasonal autoregressive integrated moving average and its arch rival fractionally integrated autoregressive moving average models the piecewise linear model is more accurate than the three benchmark models tested and the improvement is practically significant

on viable diffusion price processes of the market portfolio the assumption that the market portfolio follows a specified diffusion process implies in a simple equilibrium framework that the representative individual must have a certain utility function which is identified in the paper not every diffusion process is viable i e can be endogenized to be the market portfolio s price process in such an equilibrium model the paper provides necessary and sufficient conditions for viability which imply that viable diffusion processes constitute a rather restricted family it is common in financial economics especially in the option pricing literature to take a certain price dynamics of an underlying asset as a primitive assumption the results are then seemingly preference free but it is known that if one wishes to embed such a partial equilibrium model in a general equilibrium framework this can be obtained only with certain individuals preferences for example the black scholes 1973 model in which the underlying asset follows a geometric brownian motion is known to be consistent with utility functions which exhibit constant proportional risk aversion cpra see rubinstein 1976 breeden and litzenberger 1978 brennan 1979 stapleton and subrahmanyam 1984 and bick 1987 by this we mean that if the market portfolio follows a geometric brownian motion then necessarily the utility function of the representative individual exhibits cpra conversely one can construct a simple economy with a stock and a riskless bond where identical individuals have cpra type utility functions and where the endogenous stock price enumerated by the bond follows a prespecified geometric brownian motion however the utility function which corresponds in equilibrium to a general diffusion process has never been identified this was the initial motivation for this paper the problem loosely stated is as follows suppose we are told that in a simple equilibrium model as above the market portfolio follows a given diffusion process what does it imply regarding individuals preferences it is clear that the problem is not well formulated if a dividend process is also postulated e g as in merton 1973 1977 in this case consistency with two processes the price process and the dividend process is to be required this

dynamic equilibrium with liquidity constraints this article studies an intertemporal economy with liquidity constrained and unconstrained individuals we use a stopping time approach to solve the finite horizonconstrained consumption portfolio problem with constant relative risk aversion and to examine the structure of equilibrium the impact of the constraint on the optimal consumption and the financing portfolio is assessed the equilibrium state price density is related to the exercise boundary of an american style contingent claim with nonlinear payoff this stopping time characterization enables us to prove the existence of an equilibrium and can be implemented numerically properties of equilibrium bond and stock returns are examined copyright 2003 oxford university press

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

the effects of monetary policy shocks comparing contemporaneous versus long run identifying restrictions this study compares the effects of monetary policy shocks on the macroeconomy using four different procedures for identifying policy shocks that use contemporaneous restrictions and a procedure that uses long run restrictions impulse response functions are computed using the same vector autoregressive var model and sample period the comparison is done for a model that includes only a short term interest rate and for a model that adds a long term rate as well sources of differences in the magnitude of effects across identification schemes are examined vector autoregressive var models have been widely used in recent years to analyze the effects of monetary policy shocks however estimates of the macroeconomic effects of monetary policy often differ across studies with regard to both timing and magnitude the studies generating these estimates frequently differ in terms of the variables constituting the model the sample period for estimation and the method of identifying policy shocks see e g christiano eichenbaum and evans 1994 1996 1998 gordon and leeper 1994 lastrapes and selgin 1995 pagan and robertson 1995 1998 leeper sims and zha 1996 certainly a critical element in the estimation of the effects of policy shocks is the identification of these policy shocks that is the determination of exogenous shocks to monetary policy two methods have been widely used in the var literature to identify structural shocks to monetary policy one general approach employs restrictions on the contemporaneous relations among the variables of the var model while the second general approach imposes restrictions on the long run relations among the variables although economic and institutional arguments can be used to rationalize each identification scheme there is no consensus as to which approach to identifying shocks is preferred and the weaknesses of both approaches have been discussed in the literature keating 1992 lastrapes and selgin 1995 and mccarthy 1995 consider limitations of the use of contemporaneous identifying restrictions faust and leeper 1997 discuss potential drawbacks of imposing long run restrictions the aim of this study is to examine the implications of contemporaneous versus long run

a fractionally integrated autoregressive moving average approach to forecasting tourism demand the primary aim of this paper is to incorporate fractionally integrated arma p d q arfima models into tourism forecasting and to compare the accuracy of forecasts with those obtained by previous studies the models are estimated using the volume of monthly international tourist arrivals in singapore empirical findings demonstrate the evidence that the approach we propose generates relatively lower sample mean absolute percentage errors mapes this study also deals with the volatile data faced by a forecaster we use the asian financial crisis and the september 11 event as examples of economic and political shocks with respect to the objective of shaving the coefficient mape forecasts based on the selected arfima models dominate convincingly

existence of arrow radner equilibrium with endogenously complete markets under incomplete information abstract a stochastic pure exchange economy with incomplete information is studied where one risky asset and a locally riskless bond are traded the underlying risks are described by a k dimensional brownian motion with k 2 the brownian motion is not directly observable agents observe only asset prices and dividends existence of an arrow radner equilibrium is established in such an equilibrium asset prices result such that every informationally feasible consumption plan can be financed by trading in the risky asset and the bond in this sense the resulting asset market is complete journal of economic literature classification numbers g12 g14 d51

rational asset pricing bubbles and portfolio constraints this article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities furthermore it is shown that bubbles can lead to both multiplicity and real indeterminacy of equilibria the general results are illustrated by two explicitly solved examples where seemingly innocuous portfolio constraints make bubbles a necessary condition for the existence of an equilibrium c 2012 elsevier inc all rights reserved

tourism forecasting and the policymaker criteria of usefulness abstract this article is a sequel to one by the author in the september 1982 issue of tourism management in which the question of what futures research could contribute to tourism policy was raised here the subject is explored further and a comparison of various forecasting techniques is used to investigate how far forecasting is and could be useful in supporting tourism policies

modelling and forecasting australian domestic tourism abstract in this paper we model and forecast australian domestic tourism demand we use a regression framework to estimate important economic relationships for domestic tourism demand we also identify the impact of world events such as the 2000 sydney olympics and the 2002 bali bombings on australian domestic tourism to explore the time series nature of the data we use innovations state space models to forecast domestic tourism demand combining these two frameworks we build innovations state space models with exogenous variables these models are able to capture the time series dynamics in the data as well as economic and other relationships we show that these models outperform alternative approaches for short term forecasting and also produce sensible long term forecasts the forecasts are compared with the official australian government forecasts which are found to be more optimistic than our forecasts

on equilibrium asset price processes in this article we derive necessary and sufficient conditions that must be satisfied by equilibrium asset price processes in apure exchange economy we examine a world in which asset prices follow a diffusion process asset markets are dynamically complete all investors maximize their state independent expected utility of consumption at some future date and investors have nonrandom exogenous income we show that it is necessary and suffcient that the coefficients of an equilibrium diffusion price process satisfy a partial differential equation and a boundary condition we also examine how the dynamics of asset prices are related to the shape of the representative investor s utility function through the boundary condition for example in a constant volatility economy the expected instantaneous return of the market portfolio is mean reverting if and only if the relative risk aversion of the representative investor is decreasing in terminal wealth

yearly monthly and weekly seasonality of tourism demand a decomposition analysis abstract annual seasonal variations in tourism demand have been a central theme in literature however annual seasonality is not the only time based inequality in tourism flows that has important implications on policy making decisions at destinations within the context of tourism this study aims to make an in depth analysis of intra monthly and intra weekly tourism demand using the entropy and relative redundancy measures as alternative seasonality indicators to the gini coefficient in order to provide new tools to manage tourism and propose new action policies at these frequencies in comparison with the gini coefficient the entropy measure is simpler to compute and it is easily decomposable using the case study of air arrivals and departures to and from the balearic islands results show the appropriateness of entropy and relative redundancy as seasonal indicators but also as a new information tools for tourism seasonality analysis

the integrability problem of asset prices abstract in a dynamic continuous time stochastic environment given a well behaved asset price a non decreasing and concave utility function that reproduces the asset price in the rational expectations equilibrium can be identified journal of economic literature classification numbers d11 g12 c60 d50 d80

a seasonal analysis of asian tourist arrivals to australia rapid economic growth in south east and east asia has seen a surge in tourist arrivals from this region to australia in the 1990s prior to the currency crisis in late 1997 the purpose of the paper is to use autoregressive integrated moving average arima models to explain the nonstationary seasonally unadjusted quarterly tourist arrivals from hong kong and singapore to australia from 1975 1 to 1996 4 as the tourist arrivals series display strong seasonal patterns deterministic and stochastic seasonality are examined as possible explanations for variations in the international tourist arrivals series the hylleberg et al journal of econometrics 99 pp 215 38 1990 test for seasonal unit roots is used to examine stochastic seasonality in the various series

are shocks to tourism transitory at business cycle horizons the goal of this article is to propose a theoretical framework based on a macro model that can be used to examine the relative importance of permanent and transitory shocks in explaining variations in tourist expenditure and gross domestic product gdp at business cycle horizons we estimate the model for australia our findings reveal a common trend and common cycle relationship among tourist expenditure and gdp and the variance decomposition analysis of shocks reveals that at business cycle horizons permanent shocks explain the bulk of the variations in output while transitory shocks explain the bulk of the variations in tourist expenditure

investigating causality in international air freight and business travel the case of australia few studies have examined the link between air cargo and business travel despite there being a generally accepted understanding that these two variables are inextricably related to each other thi

forecasting tourism demand with arma based methods abstract the forecast of tourism volume in the form of arrivals is of special importance for tourism and other hospitality industries because it is an indicator of future demand thereby providing basic information for subsequent planning and policy making in this paper three univariate arma based models are applied to tourism demand as represented by the number of world wide visitors to hong kong japan korea taiwan singapore thailand the philippines australia and new zealand the study employs both monthly and quarterly time series generated from nine principal tourist destinations in asian pacific region in the forecasting exercise to ensure the reliability of the forecasting evaluation forecasting performance based on disaggregated arrival series in a particular destination is examined as well the general impression is that the arma based models perform very well and in some cases the magnitude of mean absolute percentage error is lower than 2 level

predicting tourism demand using fuzzy time series and hybrid grey theory abstract forecasting tourism demand in a capacity constrained service industry has been a major theme in this field this study presents two models that can be used to predict tourism demand both two models are based on artificial intelligent ai neural network theory was first applied to tourism demand forecasting in 2000 and empirically tested using the raw data from hong kong this work provides empirical evidence using grey theory and fuzzy time series which do not need large sample and long past time series these ai models are estimated for tourist arrivals to taiwan from hong kong united states and germany during the period of 1989 2000 gm 1 1 model achieves an accurate forecast when the sample data show a stable increase trend nevertheless the markov modification model can efficiently improved the gm 1 1 model when the sample data show significant fluctuations

the forecasting of international expo tourism using quantitative and qualitative techniques this study predicts the number of visitors to an international tourism expo to be held in korea in 2012 an unprecedented event for the host city forecasting demand for such a mega event has received only limited attention in the literature unlike most studies forecasting international tourism demand forecasting expo demand involves using both quantitative forecasting models and qualitative technique because of data limitations combining quantitative techniques with willingness to visit wtv surveys predicts the expo demand at 8 9 million visitors in comparison using the delphi method experts predict expo demand at 6 8 million visitors for this study the delphi method provides more conservative estimates than estimates from combining quantitative techniques with wtv policy implications presented are directed toward expo planners and practitioners in terms of demand and supply side application of these results in the decision making process and future challenges surrounding demand forecasting

endogenous completeness of diffusion driven equilibrium markets we study the existence of dynamic equilibria with endogenously complete markets in continuous time heterogenous agents economies driven by diffusion processes our main results show that under appropriate conditions on the transition density of the state variables market completeness can be deduced from the primitives of the economy in particular we prove that a sufficient condition for market completeness is that the volatility of dividends be invertible and provide higher order conditions that apply when this condition fails as is the case in the presence of fixed income securities in contrast to previous research our formulation does not require that securities pay terminal dividends and thus allows for both finite and infinite horizon economies

analyzing and forecasting tourism demand with arar algorithm abstract this study investigates the arar model and its usefulness as a forecast generating mechanism for tourism demand for nine major tourist destinations in the asian pacific region the analysis is conducted on monthly inflow of international visitors covering the period 1975 01 2006 12 in monthly series we consider 6 12 18 and 24 months ahead forecasting horizons the accuracy of the forecasts in most cases is robust to the forecasting horizon based on such forecasting performance metric as mean absolute percentage error mape and root mean square error rmse the study is further expanded by including quarterly series in the forecasting exercise to ensure the reliability of the forecasting evaluation the 2 4 6 and 8 quarters ahead forecasting horizons are investigated a comparison between forecasts generated by monthly and quarterly data reveals that the performance is broadly similar finally the forecasts of arar are compared with those of seasonal arima which has been proven reliable in many forecasting contexts indeed arar model can be deemed as credible alternatives when modeling and forecasting tourism demand

combining volatility and smoothing forecasts of uk demand for international tourism abstract univariate volatility models are applied to uk tourism demand to the country s most popular international destinations volatility is a concept borrowed from finance the fact that significant volatility models are found for ten of the twelve destinations examined shows that the volatility concept has relevance to tourism demand volatility models are able to quantify the impacts of positive and negative shocks on tourism demand the impacts of negative shocks vary in magnitude and duration according to the destination involved and the nature of the shock the forecasting capability of these models has never been assessed in the tourism field they are shown to generate highly accurate forecasts but become optimal when combined with forecasts obtained from exponential smoothing models two methods of combining individual forecasts are considered bias in individual volatility and smoothing models and in combinations of them is examined