İŞSİZLİK HİSTERİSİ HİPOTEZİ OECD ÜLKELERİ İÇİN GEÇERLİ Mİ? YAPISAL KIRILMALI BİRİM KÖK ANALİZİ

Yıl 2012, Sayı: 40, 95 - 117, 20.05.2015

Burcu Özcan

Öz

İşsizlik serisinin zaman boyunca izlemiş olduğu yol ile ilgili histeri hipotezi, doğal oran hipotezi ve yapısalcı yaklaşım şeklinde üç görüş söz konusudur. Histeri hipotezi, işsizlik serisinin birim kök süreci izlediğini vurgulamaktadır. Doğal oran hipotezi ise işsizlik serisinin durağan olduğuna işaret ederken, yapısalcı yaklaşım kırılmalar ile birlikte işsizlik serisinin durağan olduğunu belirtmektedir. Bu çalışmada Lee ve Strazicich (2003) ile Im vd. (2005, 2010) tarafından geliştirilen yapısal kırılmalı birim kök testlerini kullanmaktayız. Histeri hipotezinin geçerliliğini hem ülke, hem de panel boyutunda incelemekteyiz. Sonuçlar, çoğu OECD ülkesi için işsizlik serilerinin histeri etkisi altında olduğuna işaret etmektedir.

Anahtar Kelimeler

İşsizlik Histerisi, Doğal Oran Hipotezi, Birim Kök Testi, Yapısal Kırılmalar.

Kaynakça

• ARESTIS, Philip and Iris B.F. MARISCAL; (1999), “Unit Roots and Structural
• Breaks in OECD Unemployment”, Economics Letters, 65(2), pp. 149-156.
• ARESTIS, Philip and Iris B.F. MARISCAL; (2000), “OECD Unemployment: Structural Breaks and Stationarity”, Applied Economics, 32(4), pp. 399– 403.
• BARIŞIK, Salih ve İsmail E. ÇEVİK; (2008), “Türkiye’de İşsizlik Histerisinin Yapısal Kırılma ve Güçlü Hafıza Modellemesi ile Sektörel Analizi” TİSK Akademi, 3(6), ss. 67-87.
• BLANCHARD, Olivier J. and Lawrance H. SUMMERS; (1986), “Hysteresis and the European Unemployment Problem”, NBER Working Paper Se- ries, Internet Address: http://www.nber.org/papers/w1950.pdf, Date of Access:07.09.2012
• BREUER, Boucher; Robert MCNOWN and Myles S. WALLACE; (2001), “Misleading Inference Form Panel Unit Root Tests with an Illustration From Purchasing Power Parity”, Review of International Economics, 9(3), pp. 482–93.
• BREUER, Boucher; Robert MCNOWN and Myles S. WALLACE; (2002), “Series Specific Unit Root Test with Panel Data”, Oxford Bulletin of Economics and Statistics, 64(5), pp. 527–46.
• CAMARERO, Mariam; Josep L. CARRION-I-SILVESTRE and Cecilio TA- MARIT; (2004), “Testing For Hysteresis in Unemployment in OECD Countries New Evidence Using Atationarity Panel Tests with Breaks”, Economic Working Papers at Centro de Estudios Andaluces 2004/40, Internet Address: http://public.centrode estudiosandalu- ces.es/pdfs/E200440.pdf, Date of Access: 07.08.2012.
• CAMARERO, Mariam; Josep L. CARRION-I-SILVESTRE and Cecilio TA- MARIT; (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), pp. 167-182.
• CAMARERO, Mariam; Josep L. CARRION-I-SILVESTRE and Cecilio TA- MARIT; (2008),“Unemployment Hysteresis in Transition Countries: Evidence using Stationarity Panel Tests with Breaks”, Review of Deve- lopment Economics, 12(3), pp. 620-635.
• CARRION-I-SILVESTRE, Josep L.; Tomas D. BARRIO-CASTRO and En- rique LOPEZ-BAZO; (2005), “Breaking The Panels: An Application to The GDP Per Capita”, Econometrics Journal, 8(2), pp. 159–175.
• CHANG, Tsangyao; Kuei-Chiu LEE; Chien-Chung NIEH and Ching-Chun WEI; (2005),“An Empirical Note on Testing Hysteresis in Unemp- loyment for Ten European Countries: Panel SURADF Approach”, Applied Economics Letters, 12(14), pp. 881-886.
• CHRISTOPOULOS, Dimitris K. and Miguel A. LEÓN-LEDESMA; (2007), “Unemployment Hysteresis in EU Countries: What Do We Really Know About It?”, Journal of Economic Studies, 34(2), pp. 80-89.
• CLEMENTE, Jesus; Marcelo MONTAÑES and Antonio REYES; (1998), “Tes- ting for a Unit Root in Variables with a Double Change in the Mean”, Economics Letters, 59(2), pp. 175-182.
• CUESTAS, Juan C. and Luis A. GIL-ALANA; (2011), “Unemployment Hyste- resis,Structural Changes, Non-linearities and Fractional Integration in European Transition Economies”, Working Papers 2011005, Internet Address: pdf, Date of Access: 10.09.2012.
• DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of the Esti- mators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), pp. 427–431.
• DICKEY, David A. and Wayne A. FULLER; (1981), “Distribution of the Esti- mators For Autoregressive Time Series with a Unit Root”, Econometri- ca, 49, pp. 1057-72.
• FRIEDMAN, Milton; (1968), “The Role of Monetary Policy”, American Eco- nomic Review, 58, pp. 1–17.
• CAPORALE, Guglielmo M. and Luis A. GIL-ALANA; (2008), “Modelling the US,The UK and Japanese ration and Structural Breaks”, Faculty Working Papers 11/08, Internet Address: pa...8_Alana_Caporale.pdf, Date of Access: 20.08.2012. working
• GÜLOĞLU, Bülent ve Serdar M. İSPİR; (2011), “Doğal İşsizlik Oranı mı? İşsizlik Histerisi mi? Türkiye İçin Sektörel Panel Birim Kök Sınaması Analizi”, Ege Akademik Bakış, 11(2), ss. 205-215.
• IM, Kyung S.; Junsoo LEE and Margie TIESLAU; (2005), “Panel LM Unit Root Tests with Level Shifts”, Oxford Bulletin of Economics and Sta- tistics, 67(3), pp. 393–419.
• IM, Kyung S.; Junsoo LEE and Margie TIESLAU; (2010), “Panel LM Unit- Root Tests with Trend Shifts”, Mimeo, Internet Address: http://www.fdic.gov/bank/analytical/cfr/2011/seminar2011/Im_Lee_Ties lau.pdf, Date of Access: 23.04.2012.
• JOHANSEN, Kare; (2002), “Hysteresis in Unemployment: Evidence from Norwegian Counties”, Working Paper Series No. 6/2002, Internet Address: http://www.svt.ntnu.no/iso/WP/2002/6hysterwp.pdf, Date of Access: 21.09.2012.
• KAPETANIOS, George; Yongcheol SHIN and Andy SNELL; (2003), “Testing for a Unit Root in the Nonlinear Star Framework”, Journal of Econo- metrics, 112, pp. 359–379.
• KARLSSON, Sune and Mickael LOTHGREN; (2000), “On the Power and In- terpretation of Panel Unit Root Tests”, Economics Letters, 66(3), pp. 249–55.
• LEE, Junsoo and Mark C. STRAZICICH; (2003), “Minimum LM Unit Root Test with Two Structural Breaks”, Review of Economics and Statistics, 85(4), pp.1082-1089.
• LEE, Junsoo and Mark C. STRAZICICH; (2004), “Minimum LM Unit Root Test with One Structural Break”, Working Paper 04-17, Internet Add- ress: http://econ.appstate.edu/RePEc/pdf/wp0417.pdf, Date of Access: 20.04.2012.
• LEE, Junsoo; Mark C. STRAZICICH and Ming MENG; (2012), “Two-Step LM Unit Root Tests with Trend-Breaks”, Journal of Statistical and Econometric Methods, 1(2), pp. 81-107
• LEE, Chien C. and Chun P. CHANG; (2008), “Unemployment Hysteresis in OECD Countries: Centurial Time Series Evidence with Structural Bre- aks”, Economic Modelling, 25(2), pp. 312–325.
• LEE, Jun D.; Chien C. LEE and Chun P. CHANG; (2009), “Hysteresis in Unemployment Revisited: Evidence from Panel LM Unit Root Tests with Heterogeneous Structural Breaks”, Bulletin of Economic Rese- arch, 61(4), pp. 325-334.
• LEE, Cheng F.; (2010), “Testing for Unemployment Hysteresis in Nonlinear Heterogeneous Panels: International Evidence”, Economic Modeling, 27(5), pp. 1097-1102.
• LEE, Hsiu Y.; Jyh L. WU and Chiung H. LIN; (2010), “Hysteresis in East As- ian Unemployment”, Applied Economics, 42(7), pp. 887–898.
• LEON-LEDESMA, Miguel A.; (2002), “Unemployment Hysteresis in the US and EU: A Panel Data Approach”, Bulletin of Economic Research, 54(2), pp. 94-102.
• LEVIN, Andrew and Chien F. LIN; (1992), “Unit Root Tests in Panel Data: Aasymptotic and Finite-Sample Properties”, Discussion Paper 92-23, Internet Address: http://citec.repec.org/s/2003/cdlucsdec.html, Date of Access: 10.08.2012
• LUMSDAINE, Robin L. and David H. PAPELL; (1997), “Multiple Trend Bre- aks and The Unit Root Hypothesis, The Review of Economics and Sta- tistics, 79(2), pp. 212- 218.
• MOHAN, Ramesh; Francis KEMEGUE and Fahlino SJUIB; (2008), “Hystere- sis In Unemployment: Panel Unit Roots Tests Using State Level Data”, Journal of Business & Economics Research 6(2), pp. 53-60.
• NEUDORFER, Peter; Karl PICHELMANN and Michael WAGNER; (1990), “Hysteresis, NAIRU and Long Term Unemployment in Austria”, Empi- rical Economics, 15(2), pp. 217–229.
• PAPELL, David H.; Christian J. MURRAY and Hala GHIBLAWI; (2000), “The Structure of Unemployment”, The Review of Economics and Sta- tistics, 82, pp. 309–315.
• PERRON, Pierre; (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57, pp.1361–1401.
• PERRON, Pierre and Timothy J. VOGELSANG; (1992), “Nonstationarity and Level Shifts with Application to Purchasing Power Parity”, Journal of Business & Economic Statistics, 10(3), pp.301-320.
• PHELPS, Edmund S.; (1967), “Phillips Curves, Expectations of Inflation and Optimal Unemployment Over Time”, Economica, 34(3), pp. 254–81.
• PHELPS, Edmund S.; (1968), “Money-Wage Dynamics and Labor-Market Equilibrium”, Journal of Political Economy, 76(4), pp. 678–711.
• PHELPS, Edmund S.; (1994), Structural Slumps: The Modern Equilibrium Theory of Unemployment, Interest, and Assets, First Edition, Camb- ridge: Harvard University Press.
• PHILLIPS, Peter C.B. and Pierre PERRON; (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), pp. 335–346.
• PESARAN, Hashem M.; (2007), “A Simple Panel Unit Root Test in the Presen- ce of Cross Section Dependence”, Journal of Applied Econometrics, 22( 2), pp. 265-312.
• ROED, Knut; (1996), “Unemployment Hysteresis - Macro Evidence from 16 OECD Countries”, Empirical Economics, 21(4), pp. 589-600.
• ROMERO-AVILA, Diego and Carlos USABIAGA; (2007), “Unit Root Tests, Persistence, and the Unemployment Rate of the U.S. States”, Southern Economic Journal, 73(3), pp. 698-716.
• ROMERO-ÁVILA, Diego and Carlos USABIAGA; (2008), “On the Persisten- ce of Spanish Unemployment Rates”, Empirical Economics, 35, pp. 77–99.
• SCHMIDT, Peter and Peter C. B. PHILLIPS; (1992), “LM Tests for a Unit Root in the Presence of Deterministic Trends”, Oxford Bulletin of Eco- nomics and Statistics, 54( 3), pp.257-87.
• SMYTH, Russell; (2003), “Unemployment Hysteresis in Australian States and Territories: Evidence from Panel Data Unit Root Tests”, The Austra- lian Economic Review, 36(2), pp. 181–92.
• SONG, Frank M. and Yangru WU; (1997), “Hysteresis in Unemployment: Evi- dence from 48 States”, Economic Inquiry, 35, pp. 235-244.
• SONG, Frank M. and Yangru WU; (1998), “Hysteresis in Unemployment: Evi- dence from OECD mics and Finance, 38( 2), pp. 181-192.
• Countries”, The Quarterly Review of Econo
• STOCK, James H. and Mark W. WATSON; (1986), “Does GNP Have a Unit Root?”, Economics Letters, 22( 2-3), pp. 147-151.
• TAYLOR, Mark and Lucio SARNO; (1998) “The Behavior of Real Exchange Rates During the Post Bretton Woods Period”, Journal of Internatio- nal Economics, 46, pp. 281-312.
• UCAR, Nuri and Tolga OMAY; (2009), “Testing for Unit Root in Nonlinear Heterogeneous Panels”, Economics Letters, 104, pp. 5–8.
• YILANCI, Veli; (2009), “Yapısal Kırılmalar Altında Türkiye İçin İşsizlik His- terisinin Sınanması”, Doğuş Üniversitesi Dergisi, 10(2), ss. 324-335.
• ZIVOT, Eric and Donald W.K. ANDREWS; (1992), “Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Jour- nal of Business and Economic Statistics, 10(3), pp. 251–70.