Validity of Unemployment Hysteresis in European Countries and Türkiye with Fourier Functions

Year 2024, , 780 - 790, 30.09.2024

Serhat Alpağut

https://doi.org/10.29023/alanyaakademik.1463030

Abstract

İşsizlik histerezisi, artan işsizliğin zaman içinde ortalamasına dönmediği anlamına gelir. Bu durum ülkelerde işsizliğin geçici değil kalıcı olduğunu vurgulamaktadır. İşsizlik histerezisi durumunda, ekonomistler ekonomiye müdahale edilmesi gerektiğini savunmaktadır. Böylece işsizlik histerisisinin varlığı, ekonomi politikalarının uygulanabilirliğini açısından önemlidir. Ekonomistler için oldukça önemli olan bu konu literatürde farklı yöntemlerle incelenmiştir. Bu çalışmada birim kök testlerine son dönemde popüler olan Fourier modellerinin eklenmesiyle oluşturulan analizleri kullanılmıştır. Enders ve Lee (2012) tarafından geliştirilen Flexible Fourier ADF (FF-ADF) ve Omay (2015) tarafından geliştirilen Fractional Frequency Flexible Fourier ADF (FFFF-ADF) testleri ile Türkiye ve AB ülkelerinde işsizlik histerezisinin varlığını araştırılmıştır. Sonuç olarak, Fourier özelliklerinin hem Türkiye hem de AB için istatistiksel olarak anlamlı olduğu ve serilerin nonlinear özellik taşıdığı tespit edilmiştir. Uygulanan testler sonucunda Türkiye ve AB için işsizlik histerezisinin geçerli olmadığına dair kanıtlar bulunmuştur.

Keywords

İşsizlik Histerisi, Doğal İşsizlik Oranı, Fourier Birim Kök Testleri

Ethical Statement

Bu çalışma etik kurul onayı gerektirmeyen türden bir araştırmadır.

Supporting Institution

Destekleyen kurum yoktur.

Thanks

There is no supporting institution.

Validity of Unemployment Hysteresis in European Countries and Türkiye with Fourier Functions

Abstract

Unemployment hysteresis means that rising unemployment does not return to the average over time. This situation underlines that unemployment in countries is not temporary but permanent. In the case of unemployment hysteresis, economists argue for intervention in the economy. The existence of unemployment hysteresis is therefore important for the applicability of economic policy. This issue, which is very important for economists, has been analyzed in the literature using different methods. In this study, we use the analyses obtained by adding the recently popular Fourier models to unit root tests. The Flexible Fourier ADF (FF-ADF) test developed by Enders and Lee (2012) and the Fractional Frequency Flexible Fourier ADF (FFFF-ADF) test developed by Omay (2015) are used to investigate the existence of unemployment hysteresis in Türkiye and EU countries. As a result, it is found that the Fourier properties are statistically significant for both Türkiye and the EU and that the series have nonlinear properties. As a result of the tests applied, there is evidence that unemployment hysteresis does not valid for Türkiye and the EU.

Keywords

Unemployment Hysteresis, Natural Rate of Unemployment, Fourier Unit Root Tests

Ethical Statement

This study is a type of research that does not require ethics committee approval.

References

• Arestis, P., & Mariscal, I. B. F. (1999). Unit roots and structural breaks in OECD unemployment. Economics Letters, 65(2), 149-156. https://doi.org/10.1016/s0165-1765(99)00131-7
• Bayat, T., Temiz, M., & Konat, G. (2020). Türkiye’de işsizlik histerisi hipotezinin geçerliliği üzerine amprik bir çalışma (1923-2019). Pearson Journal, 5(7), 1-8.
• Belliler, İ. S., & Demiralp, A. (2021). Türkiye’de işsizlik histerisi: doğrusal olmayan birim kök testinden kanıtlar. Pearson Journal, 7(22), 167-178. https://doi.org/10.46872/pearson.402
• Blanchard, O. J., & Summers, L. H. (1986a). Hysteresis in unemployment. Nber Workıng Paper Serıes. Working Paper No. 2035. https://doi.org/10.3386/w2035
• Blanchard, O. J., & Summers, L. H. (1986b). Hysteresis and the European unemployment problem. NBER Macroeconomics Annual, 1, 15-78. https://doi.org/10.3386/w1950
• Brunello, G. (1990). Hysteresis and “the Japanese unemployment problem”: a preliminary investigation. Oxford Economic Papers, 42(3), 483-500. https://doi.org/10.1093/oxfordjournals.oep.a041959
• Cai, Y., & Omay, T. (2021). Using double frequency in Fourier Dickey–Fuller unit root test. Computational Economics, 1-26. https://doi.org/10.1007/s10614-020-10075-5
• Camarero, M., Carrion‐i‐Silvestre, J. L., & 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(2), 167-182. https://doi.org/10.1111/j.1468-0084.2006.00157.x
• Caporale, G. M., Gil-Alana, L. A., & Trejo, P. V. (2022). Unemployment persistence in Europe: Evidence from the 27 EU countries. Heliyon, 8(2), 1-7. https://doi.org/10.1016/j.heliyon.2022.e08898
• Chang, T. (2011). Hysteresis in unemployment for 17 OECD countries: Stationary test with a Fourier function. Economic Modelling, 28(5), 2208-2214. https://doi.org/10.1016/j.econmod.2011.06.002
• Cheng, S. C., Wu, T. P., Lee, K. C., & Chang, T. (2014). Flexible Fourier unit root test of unemployment for PIIGS countries. Economic Modelling, 36, 142-148. https://doi.org/10.1016/j.econmod.2013.09.021
• Christopoulos, D. K., & León‐Ledesma, M. A. (2007). Unemployment hysteresis in EU countries: What do we really know about it? Journal of Economic Studies. https://doi.org/10.1108/01443580710745353
• Coşgun, Ş. N., & Erdayı, A. U. (2023). Türkiye’de işsizlik ve sosyal dışlanma ilişkisi: Yozgat ilinde bir alan araştırması. Alanya Akademik Bakış, 7(1), 581-598. https://doi.org/10.29023/alanyaakademik.1224625
• Çınar, M., & Sevüktekin, M. (2017). Ekonometrik zaman serileri analizi (Eviews Uygulamalı), 5. Baskı, İstanbul: Dora Yayınları.
• Çiçen, Y. B. (2021). 2008 global krizinde cinsiyet ve yaş gruplarına göre işsizlik histerisi: Türkiye için Fourier durağanlık analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 17(1), 79-101. https://doi.org/10.17130/ijmeb.783454
• Dickey, D. A., & 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. https://doi.org/10.1080/01621459.1979.10482531
• Dursun, G. (2017). Unemployment hysteresis in central and eastern European countries: Further evidence from Fourier unit root test. Rome Proceedings, Econ-World2017, Rome. https://rome2017.econworld.org/papers/Dursun_Unemployment.pdf
• Enders, W., & 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. https://doi.org/10.1111/j.1468-0084.2011.00662.x
• Friedman, M. (1995). The role of monetary policy (pp. 215-231). Macmillan Education UK. https://doi.org/10.1007/978-1-349-24002-9_11
• García-Cintado, A., Romero-Ávila, D., & Usabiaga, C. (2015). Can the hysteresis hypothesis in Spanish regional unemployment be beaten? New evidence from unit root tests with breaks. Economic Modelling, 47, 244-252. https://doi.org/10.1016/j.econmod.2015.02.035
• Ghoshray, A., & Stamatogiannis, M. P. (2015). Centurial evidence of breaks in the persistence of unemployment. Economics Letters, 129, 74-76. https://doi.org/10.1016/j.econlet.2015.02.012
• Jaeger, A., & Parkinson, M. (1994). Some evidence on hysteresis in unemployment rates. European Economic Review, 38(2), 329-342. https://doi.org/10.1016/0014-2921(94)90061-2
• Kahyaoğlu, H., Tuzun, O., Ceylan, F., & Ekinci, R. (2016). İşsizlik histerisinin geçerliliği: Türkiye ve seçilmiş AB ülkeleri üzerine bir uygulama. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 14(4), 103-128. https://doi.org/10.18026/cbayarsos.280055
• Karakuş, M., & Atabey, A. Ö. (2021). Genç işsizlik, ihracat ve büyüme arasındaki ilişki: Türkiye için ampirik bir analiz. Alanya Akademik Bakış, 5(2), 865-882. https://doi.org/10.29023/alanyaakademik.889070
• Lee, C. C., & Chang, C. P. (2008). Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks. Economic Modelling, 25(2), 312-325. https://doi.org/10.1016/j.econmod.2007.06.002
• Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089. https://doi.org/10.1162/003465303772815961
• Omay, T. (2015). Fractional frequency flexible Fourier form to approximate smooth breaks in unit root testing. Economics letters, 134, 123-126. https://doi.org/10.1016/j.econlet.2015.07.010
• Omay, T., & Baleanu, D. (2021). Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19. Advances in Difference Equations, 2021(1), 167. https://doi.org/10.1186/s13662-021-03317-9
• Omay, T., Shahbaz, M., & Stewart, C. (2021). Is there really hysteresis in the OECD unemployment rates? New evidence using a Fourier panel unit root test. Empirica, 48(4), 875-901. https://doi.org/10.1007/s10663-021-09510-z
• Mitchell, W. F. (1993). Testing for unit roots and persistence in OECD unemployment rates. Applied Economics, 25(12), 1489-1501. https://doi.org/10.1080/00036849300000153
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401. https://doi.org/10.2307/1913712
• Phelps, E. S. (1994). Structural slumps: The modern equilibrium theory of unemployment, interest, and assets. Harvard University Press. https://doi.org/10.2307/1060754
• Pissarides, C. A. (1992). Loss of skill during unemployment and the persistence of employment shocks. The Quarterly Journal of Economics, 107(4), 1371-1391. https://doi.org/10.2307/2118392
• Røed, K. (1996). Unemployment hysteresis-macro evidence from 16 OECD countries. Empirical Economics, 21, 589-600. https://doi.org/10.1007/bf01180703
• Sigeze, Ç., Coşkun, N., & Ballı, E. (2019). AB ülkelerinde ve Türkiye'de işsizlik histerisinin Fourier-KPSS birim kök testi ile incelenmesi. İzmir İktisat Dergisi, 34(1), 15-24. https://doi.org/10.24988/ije.2019341761
• Song, F. M., & Wu, Y. (1998). Hysteresis in unemployment: Evidence from OECD countries. The Quarterly Review of Economics and Finance, 38(2), 181-192. https://doi.org/10.1016/s1062-9769(99)80111-2
• Srinivasan, N., & Mitra, P. (2012). Hysteresis in unemployment: Fact or fiction? Economics Letters, 115(3), 419-422. https://doi.org/10.1016/j.econlet.2011.12.070
• Tarı, R. (2015). Ekonometri. Umuttepe Yayınları. Kocaeli
• Tekin, İ. (2018). Türkiye'de işsizlik histerisi: Fourier fonksiyonlu durağanlık sınamaları. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 33(1), 97-127. https://doi.org/10.24988/deuiibf.2018331685
• Yaya, O. S., Ogbonna, E., Gil-Alana, L. A., Furuoka, F., & Vo, X. V. (2022). Testing Unemployment Hysteresis in European Countries: Argument based on Three-Generation unit root tests. SSRN 4158893. https://doi.org/10.2139/ssrn.4158893
• Yazgan, Ş., Yalçınkaya, Ö., & Kadanalı, E. (2019, June). Analysing natural unemployment rate or unemployment hysteresis in Turkish economy: An Application on agricultural and non-agricultural unemployment rate series. In 4th Internatıonal Conference on Advances in Natural & Applıed Scıences (p. 732).
• Yilanci, V., & Eris, Z. A. (2013). Purchasing power parity in African countries: Further evidence from fourier unit root tests based on linear and nonlinear models. South African Journal of Economics, 81(1), 20-34. https://doi.org/10.1111/j.1813-6982.2012.01326.x
• Yilanci, V., Ozkan, Y., & Altinsoy, A. (2020). Testing the unemployment hysteresis in G7 countries: Fresh evidence from fourier threshold unit root test. Romanian Journal of Economic Forecasting, 23(3), 49-59.
• Yılmaz, M. (2023). An Econometric study on the validity of the unemployment hysteresis hypothesis in EU-15 and EU-28. OPUS Journal of Society Research, 20 (Special Issue-Human Behavior and Social Institutions), 842-851. https://doi.org/10.26466/opusjsr.1329033
• Zivot, E., & Andrews, K. (1992), Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10(10), 25–70. https://doi.org/10.2307/1391541