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Abstract:
Faber's "A Quantitative Approach to Tactical Asset Allocation" (2009) proposes the use of a very simple trading rule to improve the risk-adjusted returns across various asset classes. Is it a counterexample to market efficiency? We perform three very simple bootstrapping experiments to refuse a positive answer to this question.

market efficiency, portfolio selection, bootstrap

Abstract:
In this paper we investigate the contribution of tourism to economic growth in Colombia. We first use the growth of real GDP per capita disaggregating it into economic growth generated by tourism and by other industries. This measure gives information of past performance of tourism in Colombia indicating the fraction of the growth of real GDP that corresponds to tourism activities. Secondly, we analyse the effects of tourism expenditure in Colombia by using quarterly data and the Johansen cointegration test. We show empirical evidence suggesting the existence of one cointegrated vector among real per capita GDP, Colombian tourism expenditure and real exchange rate, where the latter two variables are weakly exogenous to the model. The Granger causality test suggests causality that positively generates in one way from tourism expenditure to real GDP per capita.

tourism impacts, economic growth, GDP, cointegration test, causality test

Abstract:
The purpose of the article is to study the difference between the informational efficiency levels between the emerging and developed markets. We applied the symbolic time series analysis approach and the Shannon entropy in order to measure and rank the informational efficiency of 20 stock markets from July 1, 1997 to December 14, 2007. Three Asian markets take the first positions as the most efficient (Taiwan, Japan and Singapore). The last position are taken by the ex-socialist countries as the most inefficient markets. The latter could be due to the few experience of these markets.

Efficient Market Hypothesis, Shannon Entropy, Emerging Markets

Abstract:
Many investors usually believe that real estate is a reliable investment. However, as it is not risk-free and the recent US housing bubble has shown the devastating effects of a crisis in this sector. Even more, Shiller (1989) highlights that this is not an efficient market since there are clear correlation. In the present work we use the entropy as a measure of the informational efficiency in the US Housing market and tested the relationship with the probability of having a crash in the sector. We found some evidence suggesting that the market has been inefficient since May 1999. In addition, the logit model indicates that a decrease in the informational efficiency produce a significant increase in the probability of having a crash. Further results show that the fact of investing in different US metropolitan areas does not affect this probability.

Informational Efficiency, Entropy, US Housing Bubble, Real Estate

Abstract:
Argentine is the principal source of tourism in the Uruguayan case. Its effects in the economic growth is analyzed in the present paper by using quarterly data from 1987.I to 2006.IV. Co-integration analysis shows the existence of one cointegrated vector among real per capita GDP, Argentinean tourism expenditure, and real exchange rate between Uruguay and Argentine. Granger-causality test suggests that causality positively goes in one way from expenditure to real per capita GDP.

economic growth, tourism earnings, Johansen cointegration, test, Granger causality

Abstract:
Tourism is one of the most important factors in the productivity of the Mexican economy with significant multiplier effects on economic activity. This paper investigates possible causal relationships between tourism expenditure, real exchange rate and economic growth by using quarterly data. Johansen co-integration analysis shows the existence of one cointegrated vector among real GDP, tourism expenditure, and real exchange rate where the corresponding elasticities are positive. The tourism-led growth hypothesis is confirmed through cointegration and causality testing. Expenditure is weakly exogenous to real GDP producing a more than proportional effect in growth (it means real GDP increases 60% more when expenditure in tourism is increased). Short-run Granger causality shows that causality goes from expenditure to GDP, and there is a bidirectional short-run causality between real exchange rate and real GDP. Impulse response analysis shows that a shock in expenditure produce a continuous positive effect on growth while a shock in real exchange rate produces first a negative effect and then a positive one.

economic growth, earnings by tourism, Johansen cointegration, Granger causality

Abstract:
International tourism is an important foreign exchange earner and an export for many low income countries as well as for developed ones. Nowadays many developing countries pay attention to economic policies for promoting international tourism as a potential strategic factor to development and economic growth. The tourism-led economic growth hypothesis (TLGH) postulates that tourism expansion leads to economic growth. It derives directly from the export-led growth hypothesis (ELGH) which states that the economic growth of countries can be generated not only by increasing the amount of labour and capital within the economy, but also expanding exports. Actually, exports generally contribute positively to economic growth through different ways: facilitating the exploitation of economies of scale, relieving the foreign exchange constraint, raising efficiency through increased competition and promoting the diffusion of technical knowledge.
In this paper we examine the contribution of tourism to economic growth in Chile. The objective is to investigate possible causal relationships among tourism expenditure, real exchange rate and economic growth using quarterly data from 1986 to 2007. We try to find a plausible answer to the question: "Does the tourism sector cause economic growth and/or can it be a key factor for the Chilean economy?". The hypothesis is tested empirically by using the Johansen cointegration test. In addition, a modified version of the Granger Causality test is performed in order to reveal the direction of causality between economic growth and tourism expansion. The results indicate that, during the last decades, economic growth in Chile has been sensible to the expansion of international tourism. The increase of this activity has produced multiplier effects over time. Recognition of the existence of a causal relationship between international tourism and economic growth has important implications for the development of different tourism marketing and policy decisions. In order to improve its economic growth performance, Chile, as empirical results support a tourism-led economic growth, should allocate more resources to tourism and travel industries prior to other segments.

economic growth; tourism development; Johansen cointegration test; Granger causality

Abstract:
In this paper we empirically analyze the phenomena of indebtedness of the main companies belonging to the Spanish hotel industry. In particular, we introduce a method to analyze the structure and dynamics of the largest companies in this sector. The method combines the Pearson correlation coefficient with the nearest neighbor single linkage clustering algorithm (Mantegna, 1999). Pearson correlation coefficient allows to obtain a metric distance between two different multidimensional time series that is used to construct a Minimal Spanning Tree. From this tree we can compute an ultrametric distance that is used to derive the Hierarchical Tree. From the analysis of time series data of companies included in the SABI Iberian Balance Sheet Analysis System, we derive a hierarchical organization of the Spanish hotels. In particular, we detect different dynamic clusters of companies which correspond with their common production and indebtedness strategies. The obtained classification of companies can also be used to study deep relationships among this branch of tourisms activities.

Minimal Spanning Tree, Cluster Analysis, Financing decisions, Indebtedness, Hotel industry

Abstract:
The financial bubbles are a challenge for the efficient market hypothesis. The phenomenon is always the same, a rapid increase in prices arriving to a maximum and then a strong and sudden decrease. The DotCom bubble is an example of the last century, the Nasdaq index closed at 5,048.62 on March 10, 2000, whereas it was 1,114 on August 1996, and also on October 2002. In this paper, we measure the informational efficiency of the Nasdaq market through the time using the Shannon entropy. Bootstrap simulations suggest that we can reject the hypothesis that the market behaved efficiently between August 17, 1998 and September 11, 2003. In addition, using a classical linear regression and a Tobit model, we present empirical evidence suggesting the existence of a negative relationship between the drawdown and the levels of efficiency. On the other hand, a Logit model presents some evidence of a negative relationship between the probability of crash and the informational efficiency. It suggests that a healthy market should present high level of efficiency. Finally, we propose a simply stochastic model simulating great part of the cluster of inefficiency detecting in the Nasdaq market.

Informational Efficiency, Entropy, DotCom Bubble, Nasdaq

Abstract:
The present paper argues that, in line with Nelson-Phelps (1966), there exist important complementarities among educational attainment, R&D activities (and their derived innovations) and economic growth, although subject to a "skill-loss effect" (δ-effect), due to the presence of workers who have to perform jobs that require other capacities than the ones they have. Taking Redding's (1996) formal framework, the main result of our model suggests that the more distorted the labour market is, the stronger must be the investment in R&D necessary to attain a positive economic growth rate.

endogenous growth, human capital, education

Abstract:
International tourism, on which we focus in this paper, is recognized to contribute to long-run growth through a whole list of diverse channels. This belief that tourism can promote, if not, plainly, cause long-run growth is known in the literature as the Tourism-Led Growth Hypothesis (TLGH). Our case study of Brazil can also be taken as a particular test for such hypothesis. In our twofold empirical exercise, two different econometric methodologies are applied to two distinct data sets showing, among other things, that results are independent of either data or methodology. On the one hand, annual data from 1965 to 2007 for Brazil as a whole are used for a cointegration analysis to look for the existence of a long-run relationship among variables of economic growth, international tourism earnings and the real exchange rate. The relationship among the variables that we find, can be considered as weakly exogenous, but the test does not support Granger-causality. On the other hand, high quality data for the 27 Brazilian states though for a shorter period, from 1990-2005, allows for the use of the dynamic panel data model proposed by Arellano and Bond (1991). We show that the long-run elasticities between real per capita GDP with respect to tourism receipts and the real rate of exchange are 0.13 and 0.30, respectively. Finally, we compare our results with similar studies also investigating the TLGH showing a relationship between the value of the elasticity of per capita GDP with respect to tourism and the levels of development of tourism in each particular country.

tourism development, Johansen cointegration test, Granger causality

Abstract:
Theoretical and empirical literature have focused on supply factors when studying economic growth determinants. The present work analyzes demand factors as determinants of the Bolivian economic growth between 1953-2002 using framework introduced by Thirlwall (1979). According to cointegration analysis exports were an important determinant in the Bolivian economic growth for the whole period. In addition, real exchange rate presents a negative relationship respect to the long run growth. Further results show that Bolivian imports are more elastics than exports respect to the GDP, determining a negative impact in trade balance. An hypothesis is that the implemented economic model after 1985 has increased the external constraint of the country causing a process of "deindustrialization".

Bolivia, Growth, Thirlwall's Law, Cointegration

Abstract:
Tourism demand in Mexico is around 80 percent represented by USA visitors. The goal of this paper is to explain the long-term effects of Tourism Demand in Mexico with respect to US visitors. To reach our goal the methodology of this paper follows the Johansen cointegration analysis and using annual time-series data, a single equation is estimated. With the empirical analyze, we study the tourism demand elasticities considering public investment, relative prices of tourist products, and US income per capita. Further analysis shows only one direction of a strongly positive Granger-causality going from number of tourists to the relative prices. We show that US income positively affects the Mexican tourism demand.

tourism demand modeling, public investment on tourism, economics of tourism, Johansen cointegration test

Abstract:
In this paper we combine the Symbolic Time Series methods (Daw et. al., 2003) with the nearest neighbour single linkage clustering algorithm (Mantegna, 1999) to describe dynamics and structure of a set of stocks. We start with a partition of the time series state space; we label each piece of the partition by a symbol and convert the original time series into a symbolic sequence. Then we introduce a metric distance between two symbolic time series that is used to construct a Minimal Spanning Tree permitting to compute an ultrametric distance. By analyzing the data, we derive a hierarchical organization. From this analysis we can detect different clusters of companies according to their proximity which correspond with their common behaviour. The obtained classification can be used to analyze deep relationships among different branch of economic activities and can be a tool in portfolio construction.

Symbolic Time Series Analysis, Financial Asset Returns, hierarchical tree

Abstract:
Enormous quantity of information affects stock returns every day producing their almost random behavior. Nonetheless some information can be recovered by using symbolic methods and constructing Minimal Spanning Trees (MST) and Hierarchical Trees (HT). The introduced method is applied to the main German Companies which appear in the DAX30 index. A structural topology is constructed for this stock market in normal and extreme situations. In addition we detect that German companies tend to integrate in the market.

Symbolic Time Series Analysis, Cluster Analysis, Financial Asset Returns

Abstract:
Financial Markets can be modeled as complex systems. The Hugh quantity and different information affecting these markets is a remarked characteristic. However some of this information can be recover by constructing a topology of the market. We develop a symbolic method in order to study relationships in the financial markets by constructing Minimal Spanning Tree (MST) and Hierarchical Tree (HT). Method is successfully applied to the Italian Financial market detecting clusters with economic sense. This classification is helpful in portfolio construction and studying industrial networks.

Symbolic Time Series Analysis, Cluster Analysis, Financial Asset Returns

Abstract:
In this paper we introduce a new method to describe dynamical patterns of the real exchange rate movements time series and to analyze contagion in currency crisis. The method combines the tools of Symbolic Time Series Analysis with the nearest neighbor single linkage clustering algorithm. Data symbolization allows to obtain a metric distance between two different time series that is used to construct an ultrametric distance. By analyzing the data of various countries, we derive a hierarchical organization, constructing minimal-spanning and hierarchical trees. From these trees we detect different clusters of countries according to their proximity. We show that the derived clusters corresponds with the geographical location of the countries. The obtained classification of countries can be used to study the contagion phenomena in currency crisis.

Symbolic Time Series Analysis, real exchange rate, hierarchical tree

Abstract:
This short paper investigates the causal relations between tourism growth, relative prices and economic expansion for the Trentino-Alto Adige/Sidtirol, a region of northeast Italy bordering on Switzerland and Austria. Johansen cointegration analysis shows the existence of one cointegrated vector among real GDP, tourism and relative prices where the corresponding elasticities are positive. Tourism and relative prices are weakly exogenous to real GDP. A variation of the Granger Causality test developed by Toda and Yamamoto is performed to reveal the uni-directional causality from tourism to real GDP. Therefore the tourism-led growth hypothesis is supported empirically in this case. Impulse response analysis shows that a shock in tourism expenditure produces a fast positive effect on growth.

economic growth, tourism earning, Johansen cointegration test, Granger causality

Abstract:
This study investigates the relation between tourism and economic growth for the South Tyrolean economy by using the Johansen cointegration analysis to obtain a cointegrated vector among the relevant variables and the Granger Causality to investigate causality. We use annual data from 1980 to 2006 of the GDP of South Tyrol, the number of foreign tourist in South Tyrol and the relative prices (RP) between South Tyrol and Germany (more than 60% percent of the tourist origin). We show that the estimated long-run elasticity of the real GDP with respect to tourism demand is 0.29 and the Granger Causality test shows that causality goes unidirectionally from tourists and RP to real GDP. Therefore the tourism-led growth hypothesis is supported empirically in the case of South Tyrol. In other words, in South Tyrol, tourism reinforces long-run economic growth but economic growth does not reinforce tourism. Impulse response analysis shows that a shock in the number of tourists and relative prices produce a continuous and sustained positive effect.

economic growth, tourism development, Johansen cointegration test, Granger causality

Abstract:
In this paper we describe a method to analyze the structure and dynamics of the 30 largest North American companies. The method combines the tools of Symbolic Time Series Analysis with the nearest neighbor single linkage clustering algorithm. Data symbolization allows to obtain a metric distance between two different time series that is used to construct a Minimal Spanning Tree allowing to compute an ultrametric distance. From the analysis of time series data of companies included in Dow Jones Industrial Average, we derive a hierarchical organization of these companies. In particular, we detect different clusters of companies which correspond with their common production activities or their strong interrelationship. The obtained classification of companies can be used to study deep relationships among different branch of economic activities and to construct financial portfolios.

Symbolic Time Series Analysis, Cluster Analysis, Financial Asset Returns

Abstract:
This study investigates the main determinants of the German demand for tourism in South Tyrol. The important share of Germans in the South Tyrolean market with more than 80% of the total of international tourism arrivals in the region is the reason for studying this market. We introduce the dynamic data panel model proposed by Arellano and Bond and apply it to a panel data set collected from 116 tourism destinations of South Tyrol. We use annual data from 1987 to 2007 of the per capita GDP of Germany (measuring income), the number of German tourists in each destination (measuring the volume of tourism), the relative prices between Italy and Germany (measuring tourism price) and price of crude oil (as a proxy of travel costs). The main results of this study are: 1) the demand for tourism in the previous period has a positive and relevant effect on actual demand, reflecting loyalty of the German tourists; 2) the cost of travel and the relative prices have a negative and significant impact on the demand.

data panel model, tourism demand, South Tyrol

Abstract:
This short paper analyses the effects in the long-run of tourism on the economic growth of Uruguay. Using quarterly data from 1987.I to 2006.IV, the study uses cointegration analysis and shows the existence of a cointegrated vector among Uruguayan real per capita GDP, Argentinean tourism expenditure (the principal source of tourism in Uruguay), and real exchange rate between Uruguay and Argentina. We also show that the causality relationship goes positively in one way from Argentinean tourism expenditure to real per capita GDP of Uruguay. Finally, we compare our study with similar papers also investigating the TLGH.

economic growth, tourism earnings, Johansen cointegration test, Granger causality

Abstract:
This paper studies the impacts on economic growth of a small tourism driven economy caused by an increase in the growth rate of international tourism demand. We present a formal model and empirical evidence.

The ingredients of the dynamic model are a large population of intertemporally optimizing agents and an AK technology representing tourism production. The model shows that an increase in the growth of tourism demand leads to transitional dynamics with gradually increasing economic growth and increasing terms of trade. The empirical application for the case of Antigua confirms the theoretical findings.

tourism demand, growth, economic dynamics, VEC model, Antigua and Barbuda

Abstract:
Modern theories of economic growth recognize human capital as the main factor of growth. Strong investments of countries in education and research are justified by this fact. However, there are few studies analyzing the interaction between the development of human capital and the economic growth of countries. In particular, it is difficult to find in the modern literature papers that model growth economics with learning strategies and generally this works take human capital as exogenous to the model. In this paper we introduce in the very well known model of Romer (1990) (see also version in Romer (1996)) a modification to obtain a model of economic growth with learning strategies (see Bustillos and Oliveira (2004), Mingfeng et al. (2006) and Penna (1995), Huang and Stauffer (2001), Maksymowicz et al. (2008), Mingfeng et al. (2006), Oliveira (1998), Pan et al. (2005), Penna (1995), Stauffer (2007) ). In particular, we applied a version of the Bustillos and Oliveira model to a model of economic growth depending on knowledge. We explain that economic growth is determined by two ways of learning: 1)"individual learning": individual cumulates knowledge by interacting with its natural environment, in a process of trial-and error; 2) "social learning": individuals spending time near another ("teacher") can learn and cumulate knowledge. We analyze the model conducting simulations, obtaining implication of economic policy.

Economic Growth, Learning Strategies, Human Capital

Abstract:
In this paper we introduce a method to describe dynamical patterns for the exchange rate movements in the main Latin American markets and to analyze the contagion phenomena in currency crisis. This method combines Symbolic Time Series Analysis (Daw et. al. 2003) with the nearest neighbor single linkage clustering algorithm (Mantegna and Stanley 2000). From symbolization of data we obtain a distance between different time series that can be used to construct a Minimal Spanning Tree (MST). Besides, an ultrametric distance is obtained to construct the Hierarchical Tree (HT). These trees are used to detect clusters according to their proximity and to obtain a hierarchical organization. This classification is then used to study the contagion phenomena in Latin American currency crisis and the connections and hierarchy in regional currency markets.

Time Series Analysis, Minimal Spanning Tree, Hierarchical Tree, Currency Crisis, Real Exchange Rate

Abstract:
The aim of this paper is to study the economic dynamics of a set of countries of the American continent during the period 1951-2003. We introduce an alternative concept of growth convergence based on the notion of dynamic regimes. Regimes are defined in the state space of growth rates and real per capita GDP. By introducing a non-parametric method of clustering we detect two main convergence clubs. One of them can be identified as the group of high performance countries and shows a relatively more homogeneous structure. Countries in this group tend to exhibit similar performances. On the contrary, the second group exhibits a high dispersion in performances suggesting the existence of sub-clusters and some kind of divergence among them. We also study the mobility between the low and high performance clubs and find a higher probability of changing from low to high than suggested in the traditional literature on convergence.

Abstract:
Using the methodology suggested by Box and Jenkins (1970) we compare two SARIMA models for the overnight stays of the tourist in South Tyrol. We applied a seasonal unit root test suggesting that there is not seasonal unit root in the series. However, the best of the two models predicting the overnight stays considers the possibility of a seasonal unit root. Using a monthly time series of the overnight stays from January 1950 to December 2005, the best model predicting the period January 2006 to December 2008 is a SARIMA(2,1,2)(0,1,1)-ARCH(1).

Tourism, SARIMA model, South Tyrol, Forecasting

Abstract:
The present short paper considers the cruising expenditure in Costa Rica as a key variable in the economic analysis of the cost and benefits associated with the cruise industry. We use cross sectional dimension for 2008 to analyze the different variables influencing expenditure levels. Conducting this kind of analysis in a rigorous way requires appropriate statistic and econometric tools. We profit of very good quality data collected by the Costa Rica Tourism Board (ICT) rarely accessible for the cruise sector to estimate a cross-sectional regression model for the cruising expenditure depending on different characteristics of the cruise passenger and their travel. We also use the data to analyse the determinants of the probability of repeat visits to Costa Rica. The results that have been obtained show the existence of different tourist profiles that are related to the expenditure levels. We show that heavy spenders are distinguishable from the other segments in terms of age, hours spent out of the ship, nationality, income levels and their spending pattern.

cruise industry, Costa Rica, tourist profile, tourist expenditure, economic impact

Abstract:
The purpose of this study is to investigate the contribution of tourism to economic growth in Colombia. First , we conduce an ex-post analysis. We quantify the contribution of the tourism sector to economic growth from the early 1990's until 2006 by disaggregating the growth of real GDP per capita into economic growth generated by tourism and by other industries. Second, we analyze if international tourism is a strategic factor for long-run economic growth for Colombia. This believes that tourism can cause long-run economic growth it is known in the literature as the tourism-led growth hypothesis. The hypotheses is tested empirically by using the cointegration test by Johansen and the Granger Causality test. We find empirical evidence for one cointegrated vector among real GDP per capita, Colombian tourism expenditures and real exchange rates, where the latter two variables are weakly exogenous to the model. The Granger causality test suggests that causality in this model goes from tourism expenditures to real GDP per capita.

tourism impacts, economic growth, GDP, cointegration test, causality test