IMF-新冠肺炎疫情以来阿鲁巴月度旅游人数建模与预测（英）-2022.11-38正式版

Modeling and Forecasting Monthly Tourism Arrivals to Aruba Since COVID-19 Pandemic Olga G.Bespalova WP/22/WP/22/226 IMF Working Papers describe research in progress by the author(s)and are published to elicit comments and to encourage debate.The views expressed in IMF Working Papers are those of the author(s)and do not necessarily represent the views of the IMF,its Executive Board,or IMF management.2022 NOV*The work benefited from a collaboration with Dr.Gerald Kock,currently Advisor to Honorary Mr.Geoffrey B.Weaver,the Ministerof Economic Affairs,Communication and Sustainable Development of Aruba.Dr.Kock contributed to the motivation of this researchproject,collected initial Google Trends dataset during 01/08/2021 02/06/2021,verified tourism arrivals data;provided backgroundon the tourism industry in Aruba,and commented on the early draft of this research paper during his tenure as Policy Advisor at theDepartment of Economic Affairs,Commerce,and Industry(DEACI)in Aruba.The author is grateful to S.Cevik for clarifications onusing Google Trends in Cevik(2020).This paper incorporated feedback from the internal reviewers,attendees of the presentationsat the IMF Caribbean divisions meeting(07/18/2022),IMF WHD research seminar(09/07/2022),and 24th Federal ForecastersConference.The author is particularly grateful for the helpful suggestions to C.Jackson(RES),T.Komatsuzaki,D.Kovtun,N.Laframboise,S.J.Pienknagura Loor,S.Acosta Ormaechea(all WHD).Any errors are solely of the author.2022 International Monetary Fund WP/22/226 IMF Working Paper Western Hemisphere Department Modeling and Forecasting Monthly Tourism Arrivals to Aruba Since COVID-19 Pandemic Prepared by Olga G.Bespalova Authorized for distribution by Nicole Laframboise November 2022 IMF Working Papers describe research in progress by the author(s)and are published to elicit comments and to encourage debate.The views expressed in IMF Working Papers are those of the author(s)and do not necessarily represent the views of the IMF,its Executive Board,or IMF management.ABSTRACT:This paper improves short-term forecasting models of monthly tourism arrivals by estimating and evaluating a time-series model with exogenous regressors(ARIMA-X)using a case of Aruba,a small open tourism-dependent economy.Given importance of the US market for Aruba,it investigates informational value of Google Searches originating in the USA,flight capacity utilization on the US air-carriers,and per capita demand of the US consumers,given the volatility index in stock markets(VIX).It yields several insights.First,flight capacity is the best variable to account for the travel restrictions during the pandemic.Second,US real personal consumption expenditure becomes a more significant predictor than income as the former better captured impact of the COVID-19 restrictions on the consumers behavior,while income boosted by the pandemic fiscal support was not fully directed to spending.Third,intercept correction improves the model in the estimation period.Finally,the pandemic changed econometric relationships between the tourism arrivals and their main determinants,and accuracy of the forecast models.Going forward,the analysts should re-estimate the models.Out-of-sample forecasts with 5 percent confidence intervals are produced for 18 months ahead.RECOMMENDED CITATION:Olga G.Bespalova,2022.Modeling and Forecasting Monthly Tourism Arrivals Since the COVID-19 Pandemic:Aruba Case,IMF Working Papers 2022/226,International Monetary Fund.JEL Classification Numbers:C22;C53;F47;L83 Keywords:Econometric Modeling;Forecasting;tourism;arrivals;tourist arrivals;Google Trends;flight capacity utiilization;load factor;time-series models;time-series econometrics;arima;Aruba;Covid-19;Pandemic Authors E-Mail Address:obespalovaimf.org WORKING PAPERS Modeling and Forecasting Monthly Tourism Arrivals to Aruba Since COVID-19 Pandemic Prepared by Olga G.Bespalova IMF WORKING PAPERS Modeling and Forecasting Monthly Tourism Arrivals to Aruba Since COVID-19 Pandemic INTERNATIONAL MONETARY FUND 2 Contents Glossary.3 Executive Summary.4 I.Introduction.5 II.Literature Review.7 III.Data:Sample,Sources,and Their Properties.8 IV.Methodology,Models,and Assumptions.10 V.Main Empirical Results:Estimated Models and Forecasts.14 VI.Conclusion.19 Annex 1.Notes on Google Trends Data.21 Annex 2.Panel Charts:Dynamics in Data.23 Annex 3.Main Emirical Results.25 Annex 4.Panel Charts:Projected Arrivals.30 Annex 5.Robustness Check.31 References.33 FIGURES Figure 1.Tourist Arrivals to Aruba:Dynamics,Sources of Origin,and Macroeconomic Impact.5 Figure 2.Role of Regressors and Model Terms in the RMSE improvement.18 Figure 3.In-Sample Tourist Arrivals Projections.18 Figure A2-1.Dynamics in Tourist Arrivals and Explanatory Variables.23 Figure A4-1.Projected Arrivals:Comparison across ARIMA classes,before and after IC.30 TABLES Table 1.Summary Statistics and Data Properties(2004m1 2019m12).10 Table 2.Tourist Arrivals to ArubaModel w/RPCE,GT,CAP,VI