Asymmetric impact of oil price shocks on tourism : evidence from selected MENA countries

This study examines the oil price asymmetric influences on tourism (tourism receipts) for select MENA countries (namely: Egypt, Israel, Jordan, Lebanon, Morocco, Tunisia, and Turkey). Although annual sample data from 1995-2018 was collected, however, to be able to apply the asymmetric analysis, we transform the annual frequencies into quarterly series using the quadratic match-sum method that has been implemented in various empirical studies. The analysis employs the Shin et al. (2014) methodology known as the nonlinear autoregressive distributed lags (NARDL) model. The asymmetry is introduced via decomposing the oil price (\(P_{t}\)) to positive (\(P_{t}^{ + }\)) and negative (\(P_{t}^{ - }\)) changes. In addition, we take note of the data structural breaks, and incorporate the breaks within the NARDL model. The findings document evidence of long-run relationship (cointegration) among tourism receipts and the positive and negative changes of the oil price (\(P_{t}^{ + }\) and \(P_{t}^{ - }\)) for all seven countries. However, when testing for the long-run asymmetric influence, evidence was found just for Lebanon and Tunisia. In addition, when we analyze the short-run asymmetry, the NARDL results show evidence of asymmetric impact for Jordan, Lebanon, and Tunisia only. These results imply that decision makers should pay attention to the asymmetric influence of oil prices at tourism in the MENA countries, provided that tourism is an important injection to their GDP and that tourism industry is a good source of jobs that can be very helpful in designing policies for reducing unemployment whether in terms of number or gender-workers.