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Causal Dynamics Between Tourism Receipts, Economic Growth, and Real Exchange Rate in Algeria’s Economy Between 1990 and 2019

Bilal Louail
Bilal Louail
   | 31 dic 2022
European Journal of Tourism, Hospitality and Recreation's Cover Image
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Article Category: Research Article
Pubblicato online: 31 dic 2022
Pagine: 1 - 11
Ricevuto: 04 feb 2020
Accettato: 16 set 2020
DOI: https://doi.org/10.2478/ejthr-2022-0005
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© 2022 Bilal Louail, published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Figure 1:

Model stability: Cumulative sum of recursive residuals (CUSUM). Source: Output of EViews 10 software.
Model stability: Cumulative sum of recursive residuals (CUSUM). Source: Output of EViews 10 software.

Figure 2:

Model stability: Cumulative sum of squares of recursive residuals (CUSUM of squares). Source: Output of EViews 10 software.
Model stability: Cumulative sum of squares of recursive residuals (CUSUM of squares). Source: Output of EViews 10 software.

Long-term coefficients estimation with ARDL bounds test model.

Model Variable Coefficient p-value
ARDL Dependent variable LNTOUR
Independent variable LNREER −3.42 0.1545
LNGDPG 37.53 0.1193
C 138.67 0.2423
ARDL Dependent variable LNGDPG
Independent variable LNREER 0.085 0.5482
LNTOUR 0.0169 0.3703
C 3.9 0.0008
ARDL Dependent variable LNREER
Independent variable LNTOUR −0.05 0.4
LNGDPG −0.52 0.82
C 8.03 0.45

Computed F statistic for cointegration tests—ARDL bounds tests.

] I(0)–I(1)] Conclusion
Lower–upper bound (10%) 2.63–3.35 Cointegration
Lower–upper bound (5%) 3.10–3.87 Cointegration
Lower–upper bound (1%) 4.13–5.00 Cointegration
DV: LNTOUR F statistics 4.44*
DV: LNGDPG F statistics 2.25
DV: LNREER F statistics 4.63
K 2

Error correction representation of ARDL bounds test model.

Model Variable Coefficient p-value
ARDL Dependent variable LNTOUR
ΔLNREER 0.056 0.94
Independent variable ΔLNREERt-1 1.07** 0.0305
ECTt-1 −0.263*** 0.002
ARDL Dependent variable LNGDPG
ΔLNTOUR 0.024*** 0.0032
ΔLNTOURt-1 −0.017** 0.0386
Independent variable ΔLNREER −0.12*** 0.0044
ΔLNREERt-1 −0.062*** 0.0043
ECTt-1 −0.41*** 0.0043
ARDL Dependent variable LNREER
ΔLNREERt-1 0.053 0.63
Independent variable ΔLNREERt-2 −0.41*** 0.000
ECTt-1 −0.25*** 0.0002

Unit root test results.

LNGDPG LNREER LNTOUR
At level ADF test – –3.16** –
PP test – –4.49*** –
At first difference ADF test –8.63*** – –5.73***
PP test –9.34*** – –5.73***
Order of integration I(1) I(0) I(1)

VECM Granger causality analysis.

IV/DV Long-term Short-term
ΔLGDPG LNREER ΔLNTOUR ECTt-1
ΔLGDPG – −0.25 (0.66) 5.9* (0.07) −1.68*** (0.00)
LNREER −0.12*** (00092) – 0.35 (0.43) −0.17*** (0.0002)
ΔLNTOUR 0.01 (0.14) 0.01 (0.71) – −0.98*** (0.00)
C −0.166 (0.12) 0.79 (0.02) −1.58 (0.45) –
Observations 27 27 27 –
R2 0.71 0.92 0.16 –
DW 1.78 1.83 1.96 –
Fisher 6.81*** (00003) 48.70*** (0.00) 1.57(0.22) –

Variables used in the study and their definition.

Variable Characteristic Definition
LNTOUR The logarithm of international tourism receipts International tourism receipts (currency US$)
LNGDPG The logarithm of gross domestic product (GDP) growth GDP growth (annual %)
LNREER The logarithm of the real effective exchange rate Real effective exchange rate index (2010 = 100)

Correlation of the variables in the study.

LNGDPG LNREER LNTOUR
LNGDPG 1
LNREER −0.40829842 1
LNTOUR 0.43076231 −0.80311554 1

Diagnostic tests.

Diagnostic test LM test ARCH test RESET test Normality test
FTOUR(REER, GDPG) 0.9 0.25 0.67 0.057
FGDPG(REER, TOUR) 0.75 0.066 0.79 0.45
FREER(TOUR, GDPG) 0.38 0.55 0.9 0.44

Descriptive statistics of the variables in the study.

LNGDPG LNTOUR LNREER
M 4.631941 4.731771 18.64382
Median 4.63574 4.637684 18.98015
Maximum 4.674714 5.396235 19.98303
Minimum 4.583947 4.535622 16.86003
SD 0.020151 0.188400 1.056439
Probability 0.693189 0.000001 0.225635
Sum 138.9582 141.9531 559.3146
Observations 30 30 30
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