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UNEMPLOYMENT HYSTERESIS IN TURKEY AND APPLICATION OF STAR MODELS

Year 2011, Volume: 31 Issue: 2, 45 - 60, 17.03.2015

Ali Koçyiğit Tayfur Bayat , Ali Tüfekçi

Abstract

In this research, it's been studied whether economic shocks affect natural
unemployment rate biases in Turkey by analyzing unemployment rates between the
years of 1923–2010. Stationarity of series is tested by using Augmented DickeyFuller test developed by Dickey and Fuller (1981). It has been concluded that series
are not stationary on level values.Smooth Transition Autoregressive (STAR) models
which is widely accepted for testing the presence of unemployment hysteria and
nonlinear impulse-response function have been used for the detection of this effect.According to results of smooth transition autoregressive model, for Terasvirta
(1994) process and Escribano-Jorda (1997) procedure, logistic smooth transition
model (LSTAR) was chosen. After the application of this model, we investigated that
domestic and international economic fluctuations cause change in the figure of
natural unemployment rate.

Keywords

Unemployment Hysteresis STAR Models Natural Unemployment Rate

References

  • AKGÜL, I., KOÇ, S., KOÇ, S., (2007), “Cari İşlemler Dengesi Rejim Değişim Modelleri İle Modellenebilir mi?”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24-25 Mayıs, İnönü Üniversitesi, Malatya:1-21
  • BARIŞIK, S., ÇEVİK, E., (2008), “İşsizlikte histeri etkisi: Uzun Hafıza Modelleri”,Kamu-İş Dergisi; C:9(4),ss:1-36
  • BİLDİRİCİ,M., AYKAÇ,E., (2007), “Mevduat Faiz Oranlarının TAR Ailesi Modelleri ile Analizi”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24- 25 Mayıs, İnönü Üniversitesi, Malatya:1-9.
  • BLANCHARD, O.J., SUMMERS, L.H., (1986), “Hysteresis and the European Unemployment Problem”, Journal of Econometrics, Vol:74, pp:119-147
  • FISHER, S., (ed.), NBER Macroeconomic Annual, MIT Press, Cambridge, MA.
  • FISHER, S., WOLFERS, J., (2000), “The Role of Shocks and Institutions in the Rise of European Unemployment: The Aggregate Evidence”, Economic Journal, Vol. 110, 462, March, C1-C33.
  • BREITUNG, J., (1994), “Some Simple Tests of the Moving Average Hypothesis”, Journal of Time Series Analysis, 15, 331-359.
  • BULUTAY, T., (1995), “ Employment, Unemployment and Wages in Turkey”, Ankara, International Labour Office
  • CAMARERO, M., TAMARIT, C., (2004), “ Hysteresis vs. natural rate of unemployment: new evidendence for OECD countires”, Economics Letters, Vol:84, pp:413-417
  • CASADO,J. M., TRIVEZ,J., (2004), “ Asymmetry, Persistence and Non-linearity of Spanish Unemployment Rates”, General Economics and Teaching, 0406001, pp:1-32
  • CHAN, K.S., (1993), “ Consistencey and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model”, The Annals of Statistics, Vol:21, pp:520-533
  • CHEUNG, Y-W., LAİ, K. (1995), “ Lag Order And Critical Values of the Augmented Dickey-Fuller Test”, Journal of Business and Economics Statistics, Vol:13, No:3, pp:277-281
  • DICKEY, D. A., FULLER, W. A., (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, 49, pp: 1057-72.
  • ENDERS, W., (2009), “ Applied Econometric Time Series”, 3. Editon,ISBN 978- 0-470-57425-6
  • ESCRIBANO, A., JORDÁ, O. (1997), "Improved Testing and Specification of Smooth Transition Regression Models", Nonlinear Time Series Analysis of Economics and Financial Data, Dordrecht: Kluwer Academic Press 289- 319.
  • GÜLOĞLU, B., İSPİR, S., (2001), “ Doğal İşsizlik Oranı mı? İşsizlik Histerisi mi? Türkiye için Sektörel Panel Birim Kök Sınaması Analizi”, Ege Akademik Bakış Dergisi, No:11(2), ss:205-215
  • HANSEN, B.E., (1996), “ Inference When a Nuisance Parameter is Not Identified Under the Null Hypothesis”, Econometrica, Vol:57, pp:413-430
  • HANSEN, B.E., (1997), “ Inference in TAR Models”, Studies in Nonlinear Dynamics& Econometrics, Vol:2, Issue:1, pp:1-14
  • IM, K. S., PESERAN, M.H.,SHIN, Y., (1997), “Testing for Unit Roots in Heterogeneous Panel”, Department of Applied Economics, University of Cambridge.
  • KAPETANIOS, G., SHIN Y., SNELL A., (2006), “ Testing for Cointegration Nonlinear Smooth Transition Error Correction Models”, Econometric Theory, 22, pp:279-303
  • KÜÇÜKKALE Y., (2001), “Doğal İşsizlik Oranındaki Keynesyen Histeri Üzerine Klasik Bir İnceleme: Kalman Filtre Tahmin Tekniği ile Türkiye Örneği 1950-1995”, V. Ulusal Ekonometri ve İstatistik Sempozyumu, Adana.
  • KOOP, G., PESARAN, M.H., POTTER, S., (1996), “Impulse Response Analysis in Nonlinear Multivariate Models”, Journal of Econometrics, Vol:74, pp:119-147
  • LEON-LEDESMA, M.A., (2002), “Unemployment Hysteresis in the US and EU: A Panel Data Approach”, Bulletin of Economic Research, 54(2), pp. 94-102.
  • LEVİN, A., LIN, C.F., (1992), “Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties”, UC San Diego, Working Paper 92-23.
  • LINDBERG, SNOWER, (1988), “Cooperation, Harassment and Involuntary Unemployment: An Insider-Outsider Approach”, American Economic Review, 78(1), Vol. 110, 462, March, C1-C33.
  • MACKINNON, J. G. (1991), “ Critical Values For Cointegration Tests in Long-Run Economic Relstionships”, New York Oxford University Press, 266-276
  • MACKINNON, J. G. (1996), „Numerical Distribution Functions for Unit Root and Cointegration Tests‟, Journal of Applied Econometrics, 11, pp: 601–618
  • MITCHELL, W. F., (1993), “Testing for Unit Root and Persistence in OECD Unemployment Rates”, Applied Economics, Vol:25, pp. 1489-1501.
  • NELSON, C.R., PLOSSER, C.I., (1982), “Trends and Random Walks in Macroeconomic Time Series”, Journal of Monetary Economics, Vol:10, pp. 139-162.
  • PAZARLIOĞLU M. V., ÇEVİK, İ., (2005), “Ratchet Model Uygulaması: Türkiye Örneği”, VII. Ulusal Ekonometri ve İstatistik Sempozyumu, İstanbul.
  • PERRON, P., (1989), “The Great Crash, The Oil Price Shock and The Unit Root Hypothesis”, Econometrica, Vol. 57, pp. 1361-1401.
  • PHELPS, E.S., (1972), “Inflation Policy and Unemployment Theory: The Cost- Benefit Approach to Monetary Planning”, Macmillan.
  • PHELPS, E.S., (1999), “Behind the Structural Boom, the Role of Assets Valuations”, American Economic Review, Vol. 89., pp. 167-188.
  • POTTER, S.M., (1995), “A Nonlinear Approach to US GNP”, Journal of Applied Econometrics, Vol:10(2), pp:109-125
  • ROED, K., (1996), “Unemployment Hysteresis-Macroevidence from 16 OECD Countries”, Empirical Economics, Vol. 21, pp. 529-600.
  • SEVER E., DEMİR, M., (2007), “Türkiye‟de Bütçe Açığı ile Cari Açık Arasındaki İlişkilerin VAR Analizi ile İncelenmesi”, Eskişehir Osmangazi Üniversitesi İ.İ.B.F Dergisi, Nisan 2(1) pp:47-64
  • SONG, F.M., Wu, Y., (1997), “Hysteresis in Unemployment: Evidence from 48 States”, Economic Inquiry, Vol. 35, pp.235-244.
  • TERÄSVIRTA, T.,(1994), “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models”, Journal of the American Statistical Association, 89 : 208-218
  • TERÄSVIRTA, T., (1995), “ Modelling Nonlinearity in U.S. Gross National Product 1889-1987”, Empirical Economics, Vol:20, pp:577-597.
  • TONG, H., (1978), “ On a Threshold Model”, C.H. Chan (ed.) Pattern Recognation and Siganl Processing, The Netherlands:Sijthoff and Noordhooff
  • TONG, H., (1983), “ Threshold Models in Nonlinear Time Series Analysis”, New York, Springer-Verlag
  • TONG, H., (1990), “ Nonlinear Time Series: A Dynamical System Approach” Oxford University Press, Oxford
  • TONG, H., LIM, K.S., (1980), “ Threshold Autoregression, Limit Cycles and Cyclical Data”, Journal of Royal Statistical Society B, Vol:42(3) pp:245- 292
  • TSAY, R.S., (1989), “ Testing and Modelling Threshold Autoregressive Processes”, Journal of American Statistical Associaton
  • YILANCI, V., (2009), “ Yapısal Kırılmalar Altında Türkiye için İşsizlik Histerisinin Sınanması”, Doğuş Üniversitesi Dergisi, No:10(2), ss:324-335
  • VAN DIJK, D., TERÄSVIRTA, T. , FRANSES, P.H., (2002). “Smooth Transition Autoregressive Models – A Survey of Recent Developments”, Econometric Reviews, Vol:2, pp:1-47

TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI

Year 2011, Volume: 31 Issue: 2, 45 - 60, 17.03.2015

Ali Koçyiğit Tayfur Bayat , Ali Tüfekçi

Abstract

Bu çalışmada Türkiye’nin 1923–2010 dönemine ait yıllık işsizlik oranı
kullanılarak zamanla meydana gelen şokların Türkiye’deki işsizliğin doğal oranına
etkisi olup olmadığı araştırılmıştır. Genişletilmiş Dickey-Fuller (1981) birim kök
testi kullanılarak serinin düzey değerlerinde durağan olmadığı sonucuna varılmıştır.
Literatürde işsizlik histerisinin varlığının sınanmasında geniş kullanım alanı olan
yumuşak geçişli otoregresif modelleri (STAR) ve doğrusal olmayan etki-tepki
fonksiyonları kullanılmıştır. Yumuşak geçişli otoregresif modeli uygulamasına göre
Terasvirta (1994) süreci ve Escribano-Jorda (1997) prosedürü için lojistik yumuşak
geçişli otoregresif modeli seçilmiştir. Model uygulamasının sonucunda, iç ve dış
iktisadi dalgalanmaların işsizliğin doğal oranında değişmelere neden olduğu
bulunmuştur

Keywords

Ġşsizlik Histerisi STAR Modeller Doğal Ġşsizlik Oranı

References

  • AKGÜL, I., KOÇ, S., KOÇ, S., (2007), “Cari İşlemler Dengesi Rejim Değişim Modelleri İle Modellenebilir mi?”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24-25 Mayıs, İnönü Üniversitesi, Malatya:1-21
  • BARIŞIK, S., ÇEVİK, E., (2008), “İşsizlikte histeri etkisi: Uzun Hafıza Modelleri”,Kamu-İş Dergisi; C:9(4),ss:1-36
  • BİLDİRİCİ,M., AYKAÇ,E., (2007), “Mevduat Faiz Oranlarının TAR Ailesi Modelleri ile Analizi”, 8. Türkiye Ekonometri ve İstatistik Kongresi, 24- 25 Mayıs, İnönü Üniversitesi, Malatya:1-9.
  • BLANCHARD, O.J., SUMMERS, L.H., (1986), “Hysteresis and the European Unemployment Problem”, Journal of Econometrics, Vol:74, pp:119-147
  • FISHER, S., (ed.), NBER Macroeconomic Annual, MIT Press, Cambridge, MA.
  • FISHER, S., WOLFERS, J., (2000), “The Role of Shocks and Institutions in the Rise of European Unemployment: The Aggregate Evidence”, Economic Journal, Vol. 110, 462, March, C1-C33.
  • BREITUNG, J., (1994), “Some Simple Tests of the Moving Average Hypothesis”, Journal of Time Series Analysis, 15, 331-359.
  • BULUTAY, T., (1995), “ Employment, Unemployment and Wages in Turkey”, Ankara, International Labour Office
  • CAMARERO, M., TAMARIT, C., (2004), “ Hysteresis vs. natural rate of unemployment: new evidendence for OECD countires”, Economics Letters, Vol:84, pp:413-417
  • CASADO,J. M., TRIVEZ,J., (2004), “ Asymmetry, Persistence and Non-linearity of Spanish Unemployment Rates”, General Economics and Teaching, 0406001, pp:1-32
  • CHAN, K.S., (1993), “ Consistencey and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model”, The Annals of Statistics, Vol:21, pp:520-533
  • CHEUNG, Y-W., LAİ, K. (1995), “ Lag Order And Critical Values of the Augmented Dickey-Fuller Test”, Journal of Business and Economics Statistics, Vol:13, No:3, pp:277-281
  • DICKEY, D. A., FULLER, W. A., (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, 49, pp: 1057-72.
  • ENDERS, W., (2009), “ Applied Econometric Time Series”, 3. Editon,ISBN 978- 0-470-57425-6
  • ESCRIBANO, A., JORDÁ, O. (1997), "Improved Testing and Specification of Smooth Transition Regression Models", Nonlinear Time Series Analysis of Economics and Financial Data, Dordrecht: Kluwer Academic Press 289- 319.
  • GÜLOĞLU, B., İSPİR, S., (2001), “ Doğal İşsizlik Oranı mı? İşsizlik Histerisi mi? Türkiye için Sektörel Panel Birim Kök Sınaması Analizi”, Ege Akademik Bakış Dergisi, No:11(2), ss:205-215
  • HANSEN, B.E., (1996), “ Inference When a Nuisance Parameter is Not Identified Under the Null Hypothesis”, Econometrica, Vol:57, pp:413-430
  • HANSEN, B.E., (1997), “ Inference in TAR Models”, Studies in Nonlinear Dynamics& Econometrics, Vol:2, Issue:1, pp:1-14
  • IM, K. S., PESERAN, M.H.,SHIN, Y., (1997), “Testing for Unit Roots in Heterogeneous Panel”, Department of Applied Economics, University of Cambridge.
  • KAPETANIOS, G., SHIN Y., SNELL A., (2006), “ Testing for Cointegration Nonlinear Smooth Transition Error Correction Models”, Econometric Theory, 22, pp:279-303
  • KÜÇÜKKALE Y., (2001), “Doğal İşsizlik Oranındaki Keynesyen Histeri Üzerine Klasik Bir İnceleme: Kalman Filtre Tahmin Tekniği ile Türkiye Örneği 1950-1995”, V. Ulusal Ekonometri ve İstatistik Sempozyumu, Adana.
  • KOOP, G., PESARAN, M.H., POTTER, S., (1996), “Impulse Response Analysis in Nonlinear Multivariate Models”, Journal of Econometrics, Vol:74, pp:119-147
  • LEON-LEDESMA, M.A., (2002), “Unemployment Hysteresis in the US and EU: A Panel Data Approach”, Bulletin of Economic Research, 54(2), pp. 94-102.
  • LEVİN, A., LIN, C.F., (1992), “Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties”, UC San Diego, Working Paper 92-23.
  • LINDBERG, SNOWER, (1988), “Cooperation, Harassment and Involuntary Unemployment: An Insider-Outsider Approach”, American Economic Review, 78(1), Vol. 110, 462, March, C1-C33.
  • MACKINNON, J. G. (1991), “ Critical Values For Cointegration Tests in Long-Run Economic Relstionships”, New York Oxford University Press, 266-276
  • MACKINNON, J. G. (1996), „Numerical Distribution Functions for Unit Root and Cointegration Tests‟, Journal of Applied Econometrics, 11, pp: 601–618
  • MITCHELL, W. F., (1993), “Testing for Unit Root and Persistence in OECD Unemployment Rates”, Applied Economics, Vol:25, pp. 1489-1501.
  • NELSON, C.R., PLOSSER, C.I., (1982), “Trends and Random Walks in Macroeconomic Time Series”, Journal of Monetary Economics, Vol:10, pp. 139-162.
  • PAZARLIOĞLU M. V., ÇEVİK, İ., (2005), “Ratchet Model Uygulaması: Türkiye Örneği”, VII. Ulusal Ekonometri ve İstatistik Sempozyumu, İstanbul.
  • PERRON, P., (1989), “The Great Crash, The Oil Price Shock and The Unit Root Hypothesis”, Econometrica, Vol. 57, pp. 1361-1401.
  • PHELPS, E.S., (1972), “Inflation Policy and Unemployment Theory: The Cost- Benefit Approach to Monetary Planning”, Macmillan.
  • PHELPS, E.S., (1999), “Behind the Structural Boom, the Role of Assets Valuations”, American Economic Review, Vol. 89., pp. 167-188.
  • POTTER, S.M., (1995), “A Nonlinear Approach to US GNP”, Journal of Applied Econometrics, Vol:10(2), pp:109-125
  • ROED, K., (1996), “Unemployment Hysteresis-Macroevidence from 16 OECD Countries”, Empirical Economics, Vol. 21, pp. 529-600.
  • SEVER E., DEMİR, M., (2007), “Türkiye‟de Bütçe Açığı ile Cari Açık Arasındaki İlişkilerin VAR Analizi ile İncelenmesi”, Eskişehir Osmangazi Üniversitesi İ.İ.B.F Dergisi, Nisan 2(1) pp:47-64
  • SONG, F.M., Wu, Y., (1997), “Hysteresis in Unemployment: Evidence from 48 States”, Economic Inquiry, Vol. 35, pp.235-244.
  • TERÄSVIRTA, T.,(1994), “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models”, Journal of the American Statistical Association, 89 : 208-218
  • TERÄSVIRTA, T., (1995), “ Modelling Nonlinearity in U.S. Gross National Product 1889-1987”, Empirical Economics, Vol:20, pp:577-597.
  • TONG, H., (1978), “ On a Threshold Model”, C.H. Chan (ed.) Pattern Recognation and Siganl Processing, The Netherlands:Sijthoff and Noordhooff
  • TONG, H., (1983), “ Threshold Models in Nonlinear Time Series Analysis”, New York, Springer-Verlag
  • TONG, H., (1990), “ Nonlinear Time Series: A Dynamical System Approach” Oxford University Press, Oxford
  • TONG, H., LIM, K.S., (1980), “ Threshold Autoregression, Limit Cycles and Cyclical Data”, Journal of Royal Statistical Society B, Vol:42(3) pp:245- 292
  • TSAY, R.S., (1989), “ Testing and Modelling Threshold Autoregressive Processes”, Journal of American Statistical Associaton
  • YILANCI, V., (2009), “ Yapısal Kırılmalar Altında Türkiye için İşsizlik Histerisinin Sınanması”, Doğuş Üniversitesi Dergisi, No:10(2), ss:324-335
  • VAN DIJK, D., TERÄSVIRTA, T. , FRANSES, P.H., (2002). “Smooth Transition Autoregressive Models – A Survey of Recent Developments”, Econometric Reviews, Vol:2, pp:1-47
There are 46 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Ali Koçyiğit This is me

Tayfur Bayat

Ali Tüfekçi This is me

Publication Date March 17, 2015
Submission Date March 17, 2015
Published in Issue Year 2011 Volume: 31 Issue: 2

Cite

APA Koçyiğit, A., Bayat, T., & Tüfekçi, A. (2015). TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 31(2), 45-60.
AMA Koçyiğit A, Bayat T, Tüfekçi A. TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. March 2015;31(2):45-60.
Chicago Koçyiğit, Ali, Tayfur Bayat, and Ali Tüfekçi. “TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 31, no. 2 (March 2015): 45-60.
EndNote Koçyiğit A, Bayat T, Tüfekçi A (March 1, 2015) TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 31 2 45–60.
IEEE A. Koçyiğit, T. Bayat, and A. Tüfekçi, “TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 31, no. 2, pp. 45–60, 2015.
ISNAD Koçyiğit, Ali et al. “TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 31/2 (March 2015), 45-60.
JAMA Koçyiğit A, Bayat T, Tüfekçi A. TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;31:45–60.
MLA Koçyiğit, Ali et al. “TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 31, no. 2, 2015, pp. 45-60.
Vancouver Koçyiğit A, Bayat T, Tüfekçi A. TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;31(2):45-60.

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