On the asymmetric link between exchange rate variability and tourism inflows: recent evidence from the asean-5 countries

We shed new light on the long- and short-run asymmetric impact of exchange rate on tourism inflows over the period of 1995–2019 for selected ASEAN countries (Indonesia, Malaysia, Philippines, Singapore and Thailand; ASEAN-5). The investigation utilized Shin et al. (2014 Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In R. Sickles, & W. Horrace (Eds.), Festschrift in Honor of peter schmidt (pp. 281–314). Springer.[Crossref] , [Google Scholar]) recently developed NARDL model and the Toda and Yamamoto (1995 Toda, H. Y., & Yamamoto, T. (1995). Statistical inferences in vector auto-regres­sions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225–250. https://doi.org/10.1016/0304-4076(94)01616-8[Crossref], [Web of Science ®] , [Google Scholar]) causality test. The asymmetric effect was introduced via decomposing the real exchange rate into positive and negative innovations. The key findings show that long-run relationship was found for all countries, when incorporating structural breaks. Additionally, findings support asymmetric long-run effect of exchange rate for Indonesia, Malaysia and Singapore. Finally, the Toda and Yamamoto causality test revealed diverse findings regarding the exchange rate- tourism inflows nexus.