Energy-related Uncertainty and Tourism Stock Markets: New Insights from Time-varying Relationship with TVP-VAR Approach

Abstract

In this study, a time-varying parameter vector autoregressive (TVP-VAR) model is estimated to examine the effects of energy-related uncertainty, geopolitical risk and global economic activity on tourism stock prices in the United States (US) over the period February 1996-September 2022. The time-varying responses reveal that tourism stocks are negatively affected by energy-related uncertainty, particularly during financial crisis and COVID-19. Moreover, geopolitical risk shocks also negatively influence tourism stocks. Global economic activity exhibits both positive and negative shocks in tourism stocks. The results highlight the importance of considering sector-specific dynamics of energy-related uncertainty on tourism stocks in US.