Measuring the persistence degree of shocks to the US tourism markets: new evidence for COVID-19 pandemic period

ABSTRACT

Regarding the huge negative effects of the COVID-19 pandemic on the tourism market of the US, we investigate the persistent degree of the shocks to three markets: overseas, Canada, and Mexico. To measure persistence degree and its dynamics, we apply the Fourier quantile unit root test and rolling-window indirect inference estimators. Overall results indicate (i) negative shocks to the US’ tourist markets have more long-lasting effects than positive ones, (ii) degree of persistence of all three markets increased due to the COVID-19 pandemic, and (iii) Canada tourist marker displays more persistence behaviour than the other two markets.

KEYWORDS:

• Tourism market
• persistence
• Fourier quantile unit root
• indirect inference estimator
• rolling window

JEL CLASSIFICATION:

• C22
• O51
• Z32

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ Recently, Payne et al. (2021) analysed the changing persistence degree of Croatian tourism market using fractional integration model.

² The stochastic behaviours of other source countries of foreign visitors of the US may be analysed in the future works. But to save the space, we do not analyse the data-generating process of these time series variables.

³ By expanding the time period of our study up to 2022:05, we found that the number of foreign arrivals from overseas, Canada, and Mexico has bounced back but did not reach the number of foreign arrivals at the end of 2018. The figures are prepared upon request.