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OECD ÜLKELERİNDE İŞSİZLİK HİSTERİSİNİN İNCELENMESİ: DOĞRUSAL OLMAYAN FOURIER KIRILMALI TESTLERDEN KANITLAR

Year 2022, Volume: 10 Issue: 1, 27 - 48, 30.06.2022
https://doi.org/10.52122/nisantasisbd.1090723

Abstract

Çalışmanın amacı, 36 OECD ülkesinde İşsizlik Histerisi Hipotezi’nin geçerliliğini ampirik olarak sınamaktır. Ampirik analiz, her ülke için en geniş dönemi kapsayacak şekilde aylık bazda işsizlik oranı değişkeni üzerinden farklı varsayımlara ve özelliklere sahip birim kök testleri ile yapılmaktadır. Bulgulara göre, verilerin normal dağılımını varsayan ADF testinde ülkelerin %75’inde, verilerin normal dağılım göstermediğini varsayan RALS-ADF testinde ülkelerin %67’sinde, verilerin doğrusal olmayan bir sürece sahip olduğunu varsayan KSS testinde ülkelerin %56’sında, keskin kırılmaları dikkate alan ve verilerin normal dağıldığını varsayan ZA testinde ülkelerin %83’ünde, fourier kırılmaları dikkate alan ve verilerin normal dağıldığını varsayan Fourier-ADF testinde ülkelerin %47’sinde ve son olarak fourier kırılmaları dikkate alan ve verilerin doğrusal olmayan bir sürece sahip olduğunu varsayan Fourier-KSS testinde ülkelerin %53’ünde İşsizlik Histerisi Hipotezi geçerlidir. Sonuçlar, İşsizlik Histerisi Hipotezi’nin geçerli olduğu ülke sayısının fourier kırılmaları dikkate alan testlerde azaldığını ortaya koymaktadır. Özetle, Fourier-ADF testi dışındaki tüm birim kök testlerinde OECD ülkelerinde ağırlıklı olarak histeri etkisinin varlığına işaret etmektedir.

References

  • Akkuş, Ö. ve Topuz, S. G., (2019). “İşsizlik Histerisinin Geçerliliği: Gelişmekte Olan En Kırılgan Beşli”, Sosyoekonomi, 27(39), 69-80.
  • Bakas, D. ve Makhlouf, Y., (2020). “Can The Insider–Outsider Theory Explain Unemployment Hysteresis in OECD Countries?”, Oxford Economic Papers, 72(1), 149-163.
  • Balke, N. S. ve Fomby, T. B., (1997). “Threshold Cointegration”, International Economic Review, 627-645.
  • Blanchard, O. J. ve Summers, L. H., (1986). “Hysteresis and The European Unemployment Problem”, NBER Macroeconomics Annual, 1, 15-78.
  • Broock, W. A., Scheinkman, J. A., Dechert, W. D. ve LeBaron, B., (1996). “A Test for Independence Based on The Correlation Dimension”, Econometric Reviews, 15(3), 197-235.
  • Camarero, M. ve Tamarit, C., (2004). “Hysteresis vs. Natural Rate of Unemployment: New Evidence for OECD Countries”, Economics Letters, 84(3), 413-417.
  • Camarero, M., Carrión-i-Silvestre, J.L. ve Tamarit, C., (2006). “Testing for Hysteresis in Unemployment in OECD Countries: New Evidence Using Stationarity Panel Tests With Breaks”, Oxford Bulletin of Economics and Statistics 68, 167–182.
  • Christopoulos, D. K. ve León-Ledesma, M. A., (2010). “Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates”, Journal of International Money and Finance, 29(6), 1076-1093.
  • Davis, E. P., (1987). “A Stock‐Flow Consistent Macro‐Econometric Model of The UK Economy-Part I”, Journal of Applied Econometrics, 2(2), 111-132.
  • Dedeoğlu, M., (2021). “OECD Ülkelerinde İşsizliğin Histeri ve Doğal Oran Çerçevesinde İncelenmesi: Alternatif Panel Birim Kök Testlerinden Kanıtlar”, Ekoist: Journal of Econometrics and Statistics, 35, 129-145.
  • Dickey, D. A. ve Fuller, W. A., (1979). “Distribution of The Estimators for Autoregressive Time Series with A Unit Root”, Journal of the American Statistical Association, 74(366a), 427-431.
  • Dickey, D. A. ve Fuller, W. A., (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root”, Econometrica: Journal of The Econometric Society, 1057-1072.
  • Enders, W. ve Lee, J., (2012). “A Unit Root Test Using A Fourier Series to Approximate Smooth Breaks”, Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
  • Ener, M. ve Arıca, F., (2011). “Is There Hysteresis in Unemployment in OECD Countries? Evidence From Panel Unit Root Test With Structural Breaks”, Chinese Business Review, 10(4), 294-304.
  • Everaert, G., (2001). “Infrequent Large Shochs to Unemployment: New Evidence on Alternative Persistence Perspectives”, Labour, 15(4), 555-577.
  • Fève, P., Hènin, P.Y. ve Jolivaldt, P., (2003). “Testing for Hysteresis: Unemployment Persistence and Wage Adjustment”, Empirical Economics, 28, 535–552.
  • Friedman, M., (1968). “The Role of Monetary Policy”, The American Economic Review, 58(1), 1-17.
  • Furaker, B., (2009). “Unemployment and Social Protection” (pp. 17-34), The Politics of Unemployment in Europe: Policy Responses and Collective Action, (Ed.) Giugni, M., Farnham: Ashgate Publishing Limited.
  • Giugni, M., (2009). “State and Civil Society Responses to Unemployment: Welfare, Conditionality and Collective Action” (pp. 1-16), The Politics of Unemployment in Europe: Policy Responses and Collective Action, (Ed.) Giugni, M., Farnham: Ashgate Publishing Limited.
  • Hansen, B. E., (1995). “Rethinking The Univariate Approach to Unit Root Testing: Using Covariates to Increase Power”, Econometric Theory, 11(5), 1148-1171.
  • Im, K. S. ve Schmidt, P., (2008). “More Efficient Estimation Under Non-Normality When Higher Moments Do Not Depend on The Regressors, Using Residual Augmented Least Squares”, Journal of Econometrics, 144(1), 219-233.
  • Im, K. S., Lee, J. ve Tieslau, M. (2005). “Panel LM Unit‐Root Tests with Level Shifts”, Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Jarque, C. M. ve Bera, A. K., (1987). “A Test for Normality of Observations and Regression Residuals”, International Statistical Review/Revue Internationale de Statistique, 55(2), 163-172.
  • Kapetanios, G., Shin, Y. ve Snell, A., (2003). “Testing for A Unit Root in The Nonlinear STAR Framework”, Journal of econometrics, 112(2), 359-379.
  • Khraief, N., Shahbaz, M., Heshmati, A. ve Azam, M., (2020). “Are Unemployment Rates in OECD Countries Stationary? Evidence From Univariate and Panel Unit Root Tests”, The North American Journal of Economics and Finance, 51, 100838.
  • Lee, C. C. ve Chang, C. P., (2008). “Unemployment Hysteresis in OECD Countries: Centurial Time Series Evidence With Structural Breaks”, Economic Modelling, 25, 312-325.
  • Lee, J. ve Strazicich, M. C., (2003). “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4), 1082-1089.
  • Libanio, G. A., (2005). “Unit Roots in Macroeconomic Time Series: Theory, Implications, and Evidence”, Nova Economia, 15(3), 145-176.
  • McLaughlin, E., (1992). “Towards Active Labour Market Policies: An Overview” (pp. 1-22), Understanding Unemployment - New Perspectives on Active Labour Market Policies, (Ed.) McLaughlin, E., London: Routledge.
  • OECD, https://data.oecd.org/unemp/unemployment-rate.htm , (10.02.2022).
  • Omay, T., (2015). “Fractional Frequency Flexible Fourier Form to Approximate Smooth Breaks in Unit Root Testing”, Economics Letters, 134, 123-126.
  • Özcan, B., (2012). “İşsizlik Histerisi Hipotezi OECD Ülkeleri İçin Geçerli mi? Yapısal Kırılmalı Birim Kök Analizi”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 40, 95-117.
  • Papell, D. H., Murray, C. J. ve Ghiblawi, H., (2000). “The Structure of Unemployment”, Review of Economics and Statistics, 82(2), 309-315.
  • Perron, P., (1989). “The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis”, Econometrica: Journal of the Econometric Society, 57(6), 1361-1401.
  • Phelps, E. S., (1994). Structural Slumps: The Modern Equilibrium Theory of Unemployment, Interest, and Assets. Harvard University Press.
  • Roed, K., (1996). “Unemployment Hysteresis-Macro Evidence From 16 OECD Countries”, Emprical Economics, 21(4), 589-600.
  • Roed, K., (2002). “Unemployment Hysteresis and The Natural Rate of Vacancies”. Empirical Economics, 27(4), 687-704.
  • Romero-Avila, D. ve Usabiaga C., (2007). “Unit Root Tests, Persistence, and the Unemployment Rate of the U.S. States”, Southern Economic Journal, 73(3), 698-716.
  • Song, F. M. ve Yangru, W. U., (1998). “Hysteresis in Unemployment Evidence From OECD Countries”, The Quarterly Review of Economics and Finance, 38(2) 181-192.
  • Tanzi, V. ve Schuknecht L., (2000). Public Spending in The 20th Century: A Global Perspective, Cambridge: Cambridge University Press.
  • World Bank Data (2022), https://data.worldbank.org/indicator/SL.UEM.TOTL.NE.ZS. , (15.02.2022).
  • World Bank, Global Economic Monitor, https://databank.worldbank.org/source/global-economic-monitor-(gem) , (10.02.2022).
  • Yalçınkaya, Ö. ve Kaya, V., (2017). “Doğal İşsizlik Oranı Mı Yoksa İşsizlik Histerisi Mi? OECD Ülkeleri İçin Yeni Nesil Panel Birim Kök Testlerinden Kanıtlar (1980-2015)”, Sosyal Ekonomik Araştırmalar Dergisi, 17(33), 1-18.
  • Zivot, E. ve Andrews, D. W. K., (1992). “Further Evidence on The Great Crash, The Oil-Price Shock, and The Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 20(1), 25-44.

EXAMINING UNEMPLOYMENT HYSTERESIS IN OECD COUNTRIES: EVIDENCE FROM NON-LINEAR FOURIER UNIT ROOT TESTS

Year 2022, Volume: 10 Issue: 1, 27 - 48, 30.06.2022
https://doi.org/10.52122/nisantasisbd.1090723

Abstract

The aim of the paper is to empirically test the validity of the Unemployment Hysteresis Hypothesis in 36 OECD countries. Empirical analysis is carried out with unit root tests with different assumptions and features over the unemployment rate variable on a monthly basis, covering the widest period for each country. According to the findings, the Unemployment Hysteresis Hypothesis is valid in 75% of the countries in the ADF test, which assumes the normal distribution of the data, in 67% of the countries in the RALS-ADF test, which assumes that the data do not show normal distribution, in 56% of the countries in KSS test, which assumes that the data has a non-linear process, in 83% of the countries in the ZA test, which takes into account sharp breaks and assumes that the data are normally distributed, in 47% of the countries in the Fourier-ADF test, which takes into account fourier breaks and assumes that the data are normally distributed and finally in 53% of the countries in the Fourier-KSS, which considers Fourier breaks and assumes that the data have a nonlinear process. The results reveal that the number of countries in which the Unemployment Hysteresis Hypothesis is valid decreases in tests that take into account the Fourier breaks. In summary, all unit root tests except the Fourier-ADF test indicate the existence of hysteresis effects in OECD countries.

References

  • Akkuş, Ö. ve Topuz, S. G., (2019). “İşsizlik Histerisinin Geçerliliği: Gelişmekte Olan En Kırılgan Beşli”, Sosyoekonomi, 27(39), 69-80.
  • Bakas, D. ve Makhlouf, Y., (2020). “Can The Insider–Outsider Theory Explain Unemployment Hysteresis in OECD Countries?”, Oxford Economic Papers, 72(1), 149-163.
  • Balke, N. S. ve Fomby, T. B., (1997). “Threshold Cointegration”, International Economic Review, 627-645.
  • Blanchard, O. J. ve Summers, L. H., (1986). “Hysteresis and The European Unemployment Problem”, NBER Macroeconomics Annual, 1, 15-78.
  • Broock, W. A., Scheinkman, J. A., Dechert, W. D. ve LeBaron, B., (1996). “A Test for Independence Based on The Correlation Dimension”, Econometric Reviews, 15(3), 197-235.
  • Camarero, M. ve Tamarit, C., (2004). “Hysteresis vs. Natural Rate of Unemployment: New Evidence for OECD Countries”, Economics Letters, 84(3), 413-417.
  • Camarero, M., Carrión-i-Silvestre, J.L. ve Tamarit, C., (2006). “Testing for Hysteresis in Unemployment in OECD Countries: New Evidence Using Stationarity Panel Tests With Breaks”, Oxford Bulletin of Economics and Statistics 68, 167–182.
  • Christopoulos, D. K. ve León-Ledesma, M. A., (2010). “Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates”, Journal of International Money and Finance, 29(6), 1076-1093.
  • Davis, E. P., (1987). “A Stock‐Flow Consistent Macro‐Econometric Model of The UK Economy-Part I”, Journal of Applied Econometrics, 2(2), 111-132.
  • Dedeoğlu, M., (2021). “OECD Ülkelerinde İşsizliğin Histeri ve Doğal Oran Çerçevesinde İncelenmesi: Alternatif Panel Birim Kök Testlerinden Kanıtlar”, Ekoist: Journal of Econometrics and Statistics, 35, 129-145.
  • Dickey, D. A. ve Fuller, W. A., (1979). “Distribution of The Estimators for Autoregressive Time Series with A Unit Root”, Journal of the American Statistical Association, 74(366a), 427-431.
  • Dickey, D. A. ve Fuller, W. A., (1981). “Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root”, Econometrica: Journal of The Econometric Society, 1057-1072.
  • Enders, W. ve Lee, J., (2012). “A Unit Root Test Using A Fourier Series to Approximate Smooth Breaks”, Oxford Bulletin of Economics and Statistics, 74(4), 574-599.
  • Ener, M. ve Arıca, F., (2011). “Is There Hysteresis in Unemployment in OECD Countries? Evidence From Panel Unit Root Test With Structural Breaks”, Chinese Business Review, 10(4), 294-304.
  • Everaert, G., (2001). “Infrequent Large Shochs to Unemployment: New Evidence on Alternative Persistence Perspectives”, Labour, 15(4), 555-577.
  • Fève, P., Hènin, P.Y. ve Jolivaldt, P., (2003). “Testing for Hysteresis: Unemployment Persistence and Wage Adjustment”, Empirical Economics, 28, 535–552.
  • Friedman, M., (1968). “The Role of Monetary Policy”, The American Economic Review, 58(1), 1-17.
  • Furaker, B., (2009). “Unemployment and Social Protection” (pp. 17-34), The Politics of Unemployment in Europe: Policy Responses and Collective Action, (Ed.) Giugni, M., Farnham: Ashgate Publishing Limited.
  • Giugni, M., (2009). “State and Civil Society Responses to Unemployment: Welfare, Conditionality and Collective Action” (pp. 1-16), The Politics of Unemployment in Europe: Policy Responses and Collective Action, (Ed.) Giugni, M., Farnham: Ashgate Publishing Limited.
  • Hansen, B. E., (1995). “Rethinking The Univariate Approach to Unit Root Testing: Using Covariates to Increase Power”, Econometric Theory, 11(5), 1148-1171.
  • Im, K. S. ve Schmidt, P., (2008). “More Efficient Estimation Under Non-Normality When Higher Moments Do Not Depend on The Regressors, Using Residual Augmented Least Squares”, Journal of Econometrics, 144(1), 219-233.
  • Im, K. S., Lee, J. ve Tieslau, M. (2005). “Panel LM Unit‐Root Tests with Level Shifts”, Oxford Bulletin of Economics and Statistics, 67(3), 393-419.
  • Jarque, C. M. ve Bera, A. K., (1987). “A Test for Normality of Observations and Regression Residuals”, International Statistical Review/Revue Internationale de Statistique, 55(2), 163-172.
  • Kapetanios, G., Shin, Y. ve Snell, A., (2003). “Testing for A Unit Root in The Nonlinear STAR Framework”, Journal of econometrics, 112(2), 359-379.
  • Khraief, N., Shahbaz, M., Heshmati, A. ve Azam, M., (2020). “Are Unemployment Rates in OECD Countries Stationary? Evidence From Univariate and Panel Unit Root Tests”, The North American Journal of Economics and Finance, 51, 100838.
  • Lee, C. C. ve Chang, C. P., (2008). “Unemployment Hysteresis in OECD Countries: Centurial Time Series Evidence With Structural Breaks”, Economic Modelling, 25, 312-325.
  • Lee, J. ve Strazicich, M. C., (2003). “Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4), 1082-1089.
  • Libanio, G. A., (2005). “Unit Roots in Macroeconomic Time Series: Theory, Implications, and Evidence”, Nova Economia, 15(3), 145-176.
  • McLaughlin, E., (1992). “Towards Active Labour Market Policies: An Overview” (pp. 1-22), Understanding Unemployment - New Perspectives on Active Labour Market Policies, (Ed.) McLaughlin, E., London: Routledge.
  • OECD, https://data.oecd.org/unemp/unemployment-rate.htm , (10.02.2022).
  • Omay, T., (2015). “Fractional Frequency Flexible Fourier Form to Approximate Smooth Breaks in Unit Root Testing”, Economics Letters, 134, 123-126.
  • Özcan, B., (2012). “İşsizlik Histerisi Hipotezi OECD Ülkeleri İçin Geçerli mi? Yapısal Kırılmalı Birim Kök Analizi”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 40, 95-117.
  • Papell, D. H., Murray, C. J. ve Ghiblawi, H., (2000). “The Structure of Unemployment”, Review of Economics and Statistics, 82(2), 309-315.
  • Perron, P., (1989). “The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis”, Econometrica: Journal of the Econometric Society, 57(6), 1361-1401.
  • Phelps, E. S., (1994). Structural Slumps: The Modern Equilibrium Theory of Unemployment, Interest, and Assets. Harvard University Press.
  • Roed, K., (1996). “Unemployment Hysteresis-Macro Evidence From 16 OECD Countries”, Emprical Economics, 21(4), 589-600.
  • Roed, K., (2002). “Unemployment Hysteresis and The Natural Rate of Vacancies”. Empirical Economics, 27(4), 687-704.
  • Romero-Avila, D. ve Usabiaga C., (2007). “Unit Root Tests, Persistence, and the Unemployment Rate of the U.S. States”, Southern Economic Journal, 73(3), 698-716.
  • Song, F. M. ve Yangru, W. U., (1998). “Hysteresis in Unemployment Evidence From OECD Countries”, The Quarterly Review of Economics and Finance, 38(2) 181-192.
  • Tanzi, V. ve Schuknecht L., (2000). Public Spending in The 20th Century: A Global Perspective, Cambridge: Cambridge University Press.
  • World Bank Data (2022), https://data.worldbank.org/indicator/SL.UEM.TOTL.NE.ZS. , (15.02.2022).
  • World Bank, Global Economic Monitor, https://databank.worldbank.org/source/global-economic-monitor-(gem) , (10.02.2022).
  • Yalçınkaya, Ö. ve Kaya, V., (2017). “Doğal İşsizlik Oranı Mı Yoksa İşsizlik Histerisi Mi? OECD Ülkeleri İçin Yeni Nesil Panel Birim Kök Testlerinden Kanıtlar (1980-2015)”, Sosyal Ekonomik Araştırmalar Dergisi, 17(33), 1-18.
  • Zivot, E. ve Andrews, D. W. K., (1992). “Further Evidence on The Great Crash, The Oil-Price Shock, and The Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 20(1), 25-44.
There are 44 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Emre Kılıç 0000-0003-2900-5123

Eren Ergen 0000-0002-8756-5148

Ersin Yavuz 0000-0002-2543-3393

Publication Date June 30, 2022
Published in Issue Year 2022 Volume: 10 Issue: 1

Cite

APA Kılıç, E., Ergen, E., & Yavuz, E. (2022). OECD ÜLKELERİNDE İŞSİZLİK HİSTERİSİNİN İNCELENMESİ: DOĞRUSAL OLMAYAN FOURIER KIRILMALI TESTLERDEN KANITLAR. Nişantaşı Üniversitesi Sosyal Bilimler Dergisi, 10(1), 27-48. https://doi.org/10.52122/nisantasisbd.1090723

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