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Türkiye'de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları

Year 2018, Volume: 33 Issue: 1, 97 - 127, 20.04.2018

İpek Tekin

https://doi.org/10.24988/deuiibf.2018331685

Abstract

İşsizlik olgusu, meydana getirdiği iktisadi, sosyal, politik ve psikolojik sonuçlar itibariyle iktisat politikası belirleniminde her ekonominin öncelikleri arasındadır. İşsizliğin nedenleri ve yarattığı sonuçlar bir yana, yapısal bir unsur olarak işsizlikte histerinin var olup olmadığı konusu bu anlamda cevap aranması gereken sorulardandır. Histeri etkisi, geçici şokların kalıcı etkiler bıraktığı durumları ifade etmek için kullanılmaktadır. Bu çalışma da Friedman'ın doğal oran hipotezine karşılık işsizlikte histeri etkisinin, bir nevi işsizlikte kalıcı etkilerin varlığının Türkiye'de 2005-2017 dönemi aylık işsizlik verileriyle sınanmasını amaçlamaktadır. Bu amaç doğrultusunda standart birim kök sınamalarına ek olarak, Becker, Enders & Lee (2006) ile Enders & Lee (2012) tarafından geliştirilen Fourier birim kök sınamaları araç olarak kullanılmaktadır. Becker, Enders & Lee (2006) Fourier ve standart ADF durağanlık sınama sonuçları serilerin durağan olmadığına işaret ettiğinden, Türkiye'de işsizliğin ortalamaya dönme eğiliminde olmadığını, işsizlik histerisinin var olduğunu ortaya koymaktadır

Keywords

İşsizlik Histerisi NAIRU Fourier Yaklaşımı Durağanlık Sınamaları

References

  • AĞAZADE, S. (2015),"Türkiye için İşsizlik Histerisine Karşın Doğal Oran Hipotezinin Doğrusal Dışı Yöntemlerle Sınanması" Sosyal Güvenlik Dergisi, 6(2), 28-46.
  • AKDOĞAN, K. (2015), "Unemployment hysteresis and structural change in Europe" Empirical Economics, 1-26.
  • BALL, L. M. (2009), "Hysteresis in unemployment: old and new evidence" (No. w14818) National Bureau of Economic Research Working Paper Series, 1-35.
  • BECKER, R., ENDERS, W. & LEE, J. (2006), "A stationarity test in the presence of an unknown number of smooth breaks" Journal of Time Series Analysis, 27(3), 381-409.
  • BLANCHARD, O. J. & SUMMERS, L. H. (1986), "Hysteresis in unemployment" (No.2035), National Bureau of Economic Research Working Paper Series, 1-12.
  • BOLAT, S., TIWARI, A. K. & ERDAYİ, A. U. (2014). "Unemployment hysteresis in the Eurozone area: evidences from nonlinear heterogeneous panel unit root test" Applied Economics Letters, 21(8), 536-540.
  • BOX, G. E., JENKINS, G. M., REINSEL, G. C. & LJUNG, G. M. (2016), Time series analysis: forecasting and control., 5th edition, U.S.A., John Wiley & Sons.
  • CAMARERO, M. & TAMARIT, C. (2004), "Hysteresis vs. natural rate of unemployment: new evidence for OECD countries" Economics Letters, 84(3), 413-417.
  • CARRION-I‐SILVESTRE, J. L. & SANSO, A. (2006), "Testing the null of cointegration with structural breaks" Oxford Bulletin of Economics and Statistics, 68(5), 623-646.
  • CHANG, T. (2011), "Hysteresis in unemployment for 17 OECD countries: Stationary test with a Fourier function" Economic Modelling, 28(5), 2208-2214.
  • CHOI, I. & CHUNG, B. S. (1995) "Sampling frequency and the power of tests for a unit root: A simulation study" Economics Letters, 49(2), 131-136.
  • CHRISTOPOULOS, D. K. & LEON-LEDESMA, M. A. (2007), "Unemployment hysteresis in EU countries: what do we really know about it?" Journal of Economic Studies, 34(2), 80-89.
  • EĞİLMEZ, M (2013). http://www.mahfiegilmez.com/2013/12/issizlik-histeresisi.html.
  • ENDERS, W. & LEE, J. (2012), "The flexible Fourier form and Dickey–Fuller type unit root tests" Economics Letters, 117(1), 196-199.
  • ENER, M. & ARİCA, F. (2011), "Is there hysteresis in unemployment in OECD countries? Evidence from panel unit root test with structural breaks" Chinese Business Review, 10(4).
  • FRIEDMAN, M. (1968), "The role of monetary policy" The American economic review, 58(1), 1-17.
  • FURUOKA, F. (2012), "Unemployment hysteresis in the East Asia‐Pacific region: new evidence from MADF and SURADF tests" Asian‐Pacific Economic Literature, 26(2), 133-143.
  • FURUOKA, F. (2016), "A new approach to testing unemployment hysteresis" Empirical economics, 1-28.
  • GOMES, F. & da SILVA, C. G. (2008), "Hysteresis vs. natural rate of unemployment in Brazil and Chile" Applied Economics Letters, 15(1), 53-56.
  • GOZGOR, G. (2012), "Hysteresis in regional unemployment rates in Turkey" International Journal of Economics and Finance, 4(9), 175.
  • GUSTAVSSON, M. & ÖSTERHOLM, P. (2006), "Hysteresis and non-linearities in unemployment rates" Applied Economics Letters, 13(9), 545-548.
  • GÜLOĞLU, B. & İSPİR, M. S. (2011), "Doğal İşsizlik Oranı mı? İşsizlik Histerisi mi? Türkiye İçin Sektörel Panel Birim Kök Sınaması Analizi/Is Natural Rate of Unemployment or Hysteresis? Sector-Specific Panel Unit Root Test Analysis for Turkey" Ege Akademik Bakis, 11(2), 205.
  • GÜRİŞ, B., TİFTİKÇİGİL, B. Y. & TIRAŞOĞLU, M. (2017), "Testing for unemployment hysteresis in Turkey: evidence from nonlinear unit root tests" Quality & Quantity, 51(1), 35-46.
  • KAPETANIOS, G., SHIN, Y. & SNELL, A. (2003), "Testing for a unit root in the nonlinear STAR framework" Journal of econometrics, 112(2), 359-379.
  • KULA, F. & ASLAN, A. (2014), "Unemployment Hysteresis in Turkey: Does Education Matter?" International Journal of Economics and Financial Issues, 4(1), 35.
  • KUROZUMI, E. (2002), "Testing for stationarity with a break" Journal of Econometrics, 108(1), 63-99.
  • 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.
  • LEE, H. Y., WU, J. L. & LIN, C. H. (2010), "Hysteresis in east asian unemployment" Applied Economics, 42(7), 887-898.
  • LEE, J. & STRAZICICH, M. C. (2003), "Minimum Lagrange multiplier unit root test with two structural breaks" The Review of Economics and Statistics, 85(4), 1082-1089.
  • MARQUES, A. M., LIMA, G. T. & Troster, V. (2017), "Unemployment persistence in OECD countries after the Great Recession" Economic Modelling, 64, 105-116.
  • NARAYAN, P. K. & POPP, S. (2010), "A new unit root test with two structural breaks in level and slope at unknown time" Journal of Applied Statistics, 37(9), 1425-1438.
  • NEUDORFER, P., PICHELMANN, K. & WAGNER, M. (1990), "Hysteresis, NAIRU and long term unemployment in Austria" Empirical Economics, 15(2), 217-229.
  • PHELPS, E.S. (1979), Studies in Macroeconomic Theory Volume I. Employment and Inflation, New York, Academic Press.
  • RODRIGUES, P. M. & TAYLOR, A. M. R. (2012), "The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests" Oxford Bulletin of Economics and Statistics, 74(5), 736-759.
  • ROED, K. (1996), "Unemployment hysteresis-macro evidence from 16 OECD countries" Empirical Economics, 21(4), 589-600.
  • SARAÇ, T. B. (2014), "Issizlikte Histeri Etkisi: Türkiye Örnegi/Hysteresis Effect in Unemployment: Turkey Case" Ege Akademik Bakis, 14(3), 335.
  • SMYTH, D. J. & EASAW, J. Z. (2001), "Unemployment hysteresis and the NAIRU: a ratchet model" Applied Economics Letters, 8(6), 359-362.
  • STOCKHAMMER, E. & STURN, S. (2012), "The impact of monetary policy on unemployment hysteresis", 44(21), 2743-2756.
  • TOKATLIOĞLU, İ., ÖZTÜRK, F. & ARDOR, H. N. (2014), "AB Ülkeleri ve Türkiye İşgücü Piyasasında Histeri Etkisi: RATCHET Modeli Analizi" Sosyoekonomi, 22(22).
  • YALÇINKAYA, Ö. & 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.
  • YILANCI, V. (2009), "Yapısal Kırılmalar Altında Türkiye için İşsizlik Histerisinin Sınanması" Doğuş Üniversitesi Dergisi, 10(2), 324-335.
  • Türkiye İstatistik Kurumu (2017). http://tuik.gov.tr/PreTablo.do?alt_id=1007.
  • World Bank World Development Indicators (2017). http://data.worldbank.org/
  • IMF World Economic Outlook Database (2017). http://www.imf.org/external/pubs/ft/weo/2017/01/weodata/index.aspx.

Unemployment Hysteresis in Turkey: Stationarity Tests with Fourier Functions

Year 2018, Volume: 33 Issue: 1, 97 - 127, 20.04.2018

İpek Tekin

https://doi.org/10.24988/deuiibf.2018331685

Abstract

Unemployment is one of the most privilaged topics of an economy in the process of policy implication as of social, political and psychological reflections it generates. Apart from the factors leading to unemployment and the adverse outcomes it creates, the critical question of whether hysteresis effect as a structural feature exists or not is also should be answered in that context. Hysteresis phenomenon is a situation in which transitory shocks have permanent effects on an indicator. The present paper aims to test hysteresis in unemployment/persistency in unemployment of Turkey in response to natural rate hypothesis of Friedman with monthly data of 2005-2017. For this purpose, in addition to standard stationarity tests, stationarity tests with Fourier functions developed by Becker, Enders and Lee (2006) and Enders and Lee (2012) are used as instruments. Since Becker, Enders and Lee (2006) Fourier and ADF standard unit root test results show that series are not stationary, the results also provide additional empirical evidence of the hysteresis but not NAIRU hypothesis in Turkey.

Keywords

Unemployment Hysteresis NAIRU Fourier Approximation Stationarity Tests

References

  • AĞAZADE, S. (2015),"Türkiye için İşsizlik Histerisine Karşın Doğal Oran Hipotezinin Doğrusal Dışı Yöntemlerle Sınanması" Sosyal Güvenlik Dergisi, 6(2), 28-46.
  • AKDOĞAN, K. (2015), "Unemployment hysteresis and structural change in Europe" Empirical Economics, 1-26.
  • BALL, L. M. (2009), "Hysteresis in unemployment: old and new evidence" (No. w14818) National Bureau of Economic Research Working Paper Series, 1-35.
  • BECKER, R., ENDERS, W. & LEE, J. (2006), "A stationarity test in the presence of an unknown number of smooth breaks" Journal of Time Series Analysis, 27(3), 381-409.
  • BLANCHARD, O. J. & SUMMERS, L. H. (1986), "Hysteresis in unemployment" (No.2035), National Bureau of Economic Research Working Paper Series, 1-12.
  • BOLAT, S., TIWARI, A. K. & ERDAYİ, A. U. (2014). "Unemployment hysteresis in the Eurozone area: evidences from nonlinear heterogeneous panel unit root test" Applied Economics Letters, 21(8), 536-540.
  • BOX, G. E., JENKINS, G. M., REINSEL, G. C. & LJUNG, G. M. (2016), Time series analysis: forecasting and control., 5th edition, U.S.A., John Wiley & Sons.
  • CAMARERO, M. & TAMARIT, C. (2004), "Hysteresis vs. natural rate of unemployment: new evidence for OECD countries" Economics Letters, 84(3), 413-417.
  • CARRION-I‐SILVESTRE, J. L. & SANSO, A. (2006), "Testing the null of cointegration with structural breaks" Oxford Bulletin of Economics and Statistics, 68(5), 623-646.
  • CHANG, T. (2011), "Hysteresis in unemployment for 17 OECD countries: Stationary test with a Fourier function" Economic Modelling, 28(5), 2208-2214.
  • CHOI, I. & CHUNG, B. S. (1995) "Sampling frequency and the power of tests for a unit root: A simulation study" Economics Letters, 49(2), 131-136.
  • CHRISTOPOULOS, D. K. & LEON-LEDESMA, M. A. (2007), "Unemployment hysteresis in EU countries: what do we really know about it?" Journal of Economic Studies, 34(2), 80-89.
  • EĞİLMEZ, M (2013). http://www.mahfiegilmez.com/2013/12/issizlik-histeresisi.html.
  • ENDERS, W. & LEE, J. (2012), "The flexible Fourier form and Dickey–Fuller type unit root tests" Economics Letters, 117(1), 196-199.
  • ENER, M. & ARİCA, F. (2011), "Is there hysteresis in unemployment in OECD countries? Evidence from panel unit root test with structural breaks" Chinese Business Review, 10(4).
  • FRIEDMAN, M. (1968), "The role of monetary policy" The American economic review, 58(1), 1-17.
  • FURUOKA, F. (2012), "Unemployment hysteresis in the East Asia‐Pacific region: new evidence from MADF and SURADF tests" Asian‐Pacific Economic Literature, 26(2), 133-143.
  • FURUOKA, F. (2016), "A new approach to testing unemployment hysteresis" Empirical economics, 1-28.
  • GOMES, F. & da SILVA, C. G. (2008), "Hysteresis vs. natural rate of unemployment in Brazil and Chile" Applied Economics Letters, 15(1), 53-56.
  • GOZGOR, G. (2012), "Hysteresis in regional unemployment rates in Turkey" International Journal of Economics and Finance, 4(9), 175.
  • GUSTAVSSON, M. & ÖSTERHOLM, P. (2006), "Hysteresis and non-linearities in unemployment rates" Applied Economics Letters, 13(9), 545-548.
  • GÜLOĞLU, B. & İSPİR, M. S. (2011), "Doğal İşsizlik Oranı mı? İşsizlik Histerisi mi? Türkiye İçin Sektörel Panel Birim Kök Sınaması Analizi/Is Natural Rate of Unemployment or Hysteresis? Sector-Specific Panel Unit Root Test Analysis for Turkey" Ege Akademik Bakis, 11(2), 205.
  • GÜRİŞ, B., TİFTİKÇİGİL, B. Y. & TIRAŞOĞLU, M. (2017), "Testing for unemployment hysteresis in Turkey: evidence from nonlinear unit root tests" Quality & Quantity, 51(1), 35-46.
  • KAPETANIOS, G., SHIN, Y. & SNELL, A. (2003), "Testing for a unit root in the nonlinear STAR framework" Journal of econometrics, 112(2), 359-379.
  • KULA, F. & ASLAN, A. (2014), "Unemployment Hysteresis in Turkey: Does Education Matter?" International Journal of Economics and Financial Issues, 4(1), 35.
  • KUROZUMI, E. (2002), "Testing for stationarity with a break" Journal of Econometrics, 108(1), 63-99.
  • 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.
  • LEE, H. Y., WU, J. L. & LIN, C. H. (2010), "Hysteresis in east asian unemployment" Applied Economics, 42(7), 887-898.
  • LEE, J. & STRAZICICH, M. C. (2003), "Minimum Lagrange multiplier unit root test with two structural breaks" The Review of Economics and Statistics, 85(4), 1082-1089.
  • MARQUES, A. M., LIMA, G. T. & Troster, V. (2017), "Unemployment persistence in OECD countries after the Great Recession" Economic Modelling, 64, 105-116.
  • NARAYAN, P. K. & POPP, S. (2010), "A new unit root test with two structural breaks in level and slope at unknown time" Journal of Applied Statistics, 37(9), 1425-1438.
  • NEUDORFER, P., PICHELMANN, K. & WAGNER, M. (1990), "Hysteresis, NAIRU and long term unemployment in Austria" Empirical Economics, 15(2), 217-229.
  • PHELPS, E.S. (1979), Studies in Macroeconomic Theory Volume I. Employment and Inflation, New York, Academic Press.
  • RODRIGUES, P. M. & TAYLOR, A. M. R. (2012), "The Flexible Fourier Form and Local Generalised Least Squares De‐trended Unit Root Tests" Oxford Bulletin of Economics and Statistics, 74(5), 736-759.
  • ROED, K. (1996), "Unemployment hysteresis-macro evidence from 16 OECD countries" Empirical Economics, 21(4), 589-600.
  • SARAÇ, T. B. (2014), "Issizlikte Histeri Etkisi: Türkiye Örnegi/Hysteresis Effect in Unemployment: Turkey Case" Ege Akademik Bakis, 14(3), 335.
  • SMYTH, D. J. & EASAW, J. Z. (2001), "Unemployment hysteresis and the NAIRU: a ratchet model" Applied Economics Letters, 8(6), 359-362.
  • STOCKHAMMER, E. & STURN, S. (2012), "The impact of monetary policy on unemployment hysteresis", 44(21), 2743-2756.
  • TOKATLIOĞLU, İ., ÖZTÜRK, F. & ARDOR, H. N. (2014), "AB Ülkeleri ve Türkiye İşgücü Piyasasında Histeri Etkisi: RATCHET Modeli Analizi" Sosyoekonomi, 22(22).
  • YALÇINKAYA, Ö. & 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.
  • YILANCI, V. (2009), "Yapısal Kırılmalar Altında Türkiye için İşsizlik Histerisinin Sınanması" Doğuş Üniversitesi Dergisi, 10(2), 324-335.
  • Türkiye İstatistik Kurumu (2017). http://tuik.gov.tr/PreTablo.do?alt_id=1007.
  • World Bank World Development Indicators (2017). http://data.worldbank.org/
  • IMF World Economic Outlook Database (2017). http://www.imf.org/external/pubs/ft/weo/2017/01/weodata/index.aspx.
There are 44 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

İpek Tekin

Publication Date April 20, 2018
Acceptance Date October 3, 2017
Published in Issue Year 2018 Volume: 33 Issue: 1

Cite

APA Tekin, İ. (2018). Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 33(1), 97-127. https://doi.org/10.24988/deuiibf.2018331685
AMA Tekin İ. Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. April 2018;33(1):97-127. doi:10.24988/deuiibf.2018331685
Chicago Tekin, İpek. “Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 33, no. 1 (April 2018): 97-127. https://doi.org/10.24988/deuiibf.2018331685.
EndNote Tekin İ (April 1, 2018) Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 33 1 97–127.
IEEE İ. Tekin, “Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları”, Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, vol. 33, no. 1, pp. 97–127, 2018, doi: 10.24988/deuiibf.2018331685.
ISNAD Tekin, İpek. “Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi 33/1 (April 2018), 97-127. https://doi.org/10.24988/deuiibf.2018331685.
JAMA Tekin İ. Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2018;33:97–127.
MLA Tekin, İpek. “Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları”. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, vol. 33, no. 1, 2018, pp. 97-127, doi:10.24988/deuiibf.2018331685.
Vancouver Tekin İ. Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi. 2018;33(1):97-127.
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