THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES

Burak Alparslan Eroğlu; Anıl Bölükoğlu

doi:10.46737/emid.2028594

TR EN

ÖNGÖRÜLEMEYEN İŞSİZLİK HAREKETLERİNİN ÜST KUYRUKTAKİ BİRLİKTELİĞİ: OECD ÜLKELERİNDEN BULGULAR

Abstract

Bu çalışma, modele koşullu ülkeler arası işsizlik inovasyonlarının birlikte hareketini ortalama düzeyinde değil, dağılımın belirli kantillerinde inceler. Bu amaçla çalışma, 25 OECD ülkesinin mevsimsel otoregresif bütünleşik hareketli ortalama modeliyle elde edilen işsizlik oranı inovasyonlarını kullanarak yedi noktalı bir kantil ızgarası üzerinde kantil faktör modelini tahmin eder. Ülke ortalamalarından arındırılmış tahmini kantil yüzeyinde öncü bileşenin payı olan dinamik yoğunlaşma; alt kuyrukta 0,303, medyanda 0,354 ve üst (sıkıntı) kuyruğunda 0,759'a eşittir. Sıkıntı kuyruğundaki 0,405'lik fark, ülke artıklarının döngüsel olarak kaydırılmasıyla elde edilen, sırasıyla ek bir ortak oynaklık çarpanının kullanılmadığı ve kullanıldığı iki plasebo dağılımının sağ kuyruğunda yer almaktadır (p = 0,015 ve p = 0,002). Değişimlere rağmen üst kuyruk farkı; alternatif faktör sayıları, ölçeklemeler ve ülke bileşimleri genelinde pozitif kalmaya devam etmektedir. Mart-Haziran 2020 döneminin dışlanması ve eşleştirilmiş çeyreklik tahminin ardından fark düşmektedir. Ayrıca alt örneklem tahminleri, üst kuyruk farkının kalıcı olduğunu göstermemektedir. Öncü üst kuyruk bileşeni, 5,48'lik efektif ülke sayısıyla yoğunlaşmış ülke yükleri içermektedir. Filtreleme ve plasebo tasarımlarına koşullu olarak bu bulgu; genel bir birlikte hareket kalıbından ziyade, tam örneklem uyarlanmış dağılımında belirli dönemlere özgü bir örüntüye işaret etmektedir.

Keywords

İşsizlik, Ülkeler Arası Eşhareket, Kantil Faktör Modeli, Kuyruk Riski, Durum Bağımlı Aktarım

THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES

Abstract

This study analyses the cross-country comovement of model-conditioned unemployment innovations at specific quantiles rather than at the mean. To this end, the study estimates a quantile factor model on a seven-point quantile grid over the seasonal autoregressive integrated moving average unemployment rate innovations from 25 OECD countries. The share of the leading component in the country-demeaned fitted quantile surface, dynamic concentration, equals 0.303 at the lower tail, 0.354 at the median, and 0.759 at the upper (distress) tail. The distress-tail difference of 0.405 lies in the right tail of the two placebo distributions derived by circularly shifting country residuals, without and with an additional common volatility multiplier, respectively (p = 0.015 and p = 0.002). Despite variations, the upper-tail difference remains positive across alternative factor counts, scalings, and country compositions. After exclusion of March-June 2020 and matched quarterly estimation, the difference decreases. Furthermore, sub-sample estimates do not show a persistent upper-tail difference. The leading upper-tail component includes concentrated country loadings, with an effective country count of 5.48. Conditional on the filtering and placebo designs, this finding implies an episode-specific pattern in the fitted full-sample distribution, rather than a general comovement pattern.

Keywords

Unemployment, Cross-Country Comovement, Quantile Factor Model, Tail Risk, State-Dependent Transmission

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Details

Primary Language

English

Subjects

Policy of Treasury

Journal Section

Research Article

Authors

Burak Alparslan Eroğlu This is me
0000-0001-6814-747X
Türkiye

Anıl Bölükoğlu ^*
0000-0002-0322-112X
Türkiye

Publication Date

October 29, 2026

Submission Date

August 31, 2026

Acceptance Date

October 24, 2026

Published in Issue

Year 2026 Volume: 9 Number: Prof. Dr. İlker Parasız Özel Sayısı

DOI

https://doi.org/10.46737/emid.2028594

IZ

https://izlik.org/JA83TW85BK

APA

Eroğlu, B. A., & Bölükoğlu, A. (2026). THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES. Ekonomi Maliye İşletme Dergisi, 9(Prof. Dr. İlker Parasız Özel Sayısı), 181-213. https://doi.org/10.46737/emid.2028594

AMA

1.Eroğlu BA, Bölükoğlu A. THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES. Ekonomi Maliye İşletme Dergisi. 2026;9(Prof. Dr. İlker Parasız Özel Sayısı):181-213. doi:10.46737/emid.2028594

Chicago

Eroğlu, Burak Alparslan, and Anıl Bölükoğlu. 2026. “THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES”. Ekonomi Maliye İşletme Dergisi 9 (Prof. Dr. İlker Parasız Özel Sayısı): 181-213. https://doi.org/10.46737/emid.2028594.

EndNote

Eroğlu BA, Bölükoğlu A (October 1, 2026) THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES. Ekonomi Maliye İşletme Dergisi 9 Prof. Dr. İlker Parasız Özel Sayısı 181–213.

IEEE

[1]B. A. Eroğlu and A. Bölükoğlu, “THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES”, Ekonomi Maliye İşletme Dergisi, vol. 9, no. Prof. Dr. İlker Parasız Özel Sayısı, pp. 181–213, Oct. 2026, doi: 10.46737/emid.2028594.

ISNAD

Eroğlu, Burak Alparslan - Bölükoğlu, Anıl. “THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES”. Ekonomi Maliye İşletme Dergisi 9/Prof. Dr. İlker Parasız Özel Sayısı (October 1, 2026): 181-213. https://doi.org/10.46737/emid.2028594.

JAMA

1.Eroğlu BA, Bölükoğlu A. THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES. Ekonomi Maliye İşletme Dergisi. 2026;9:181–213.

MLA

Eroğlu, Burak Alparslan, and Anıl Bölükoğlu. “THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES”. Ekonomi Maliye İşletme Dergisi, vol. 9, no. Prof. Dr. İlker Parasız Özel Sayısı, Oct. 2026, pp. 181-13, doi:10.46737/emid.2028594.

Vancouver

1.Burak Alparslan Eroğlu, Anıl Bölükoğlu. THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES. Ekonomi Maliye İşletme Dergisi. 2026 Oct. 1;9(Prof. Dr. İlker Parasız Özel Sayısı):181-213. doi:10.46737/emid.2028594

ÖNGÖRÜLEMEYEN İŞSİZLİK HAREKETLERİNİN ÜST KUYRUKTAKİ BİRLİKTELİĞİ: OECD ÜLKELERİNDEN BULGULAR

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THE COMOVEMENT OF UNANTICIPATED UNEMPLOYMENT MOVEMENTS IN THE DISTRESS TAIL: EVIDENCE FROM OECD COUNTRIES

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