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AB-15 ve AB-28'de İşsizlik Histerezisi Hipotezinin Geçerliliği Üzerine Ekonometrik Bir Çalışma

Year 2023, Volume: 20 Issue: Human Behavior and Social Institutions, 842 - 851, 30.10.2023
https://doi.org/10.26466/opusjsr.1329033

Abstract

İşsizlik, azgelişmiş ülkeler için olduğu kadar gelişmiş ülkeler açısından da ana ekonomik sorunlar arasında yer almaktadır. 2004 yılına kadar çoğunlukla gelişmiş batı Avrupa ülkelerinin oluşturduğu Avrupa Birliği, sonraki yıllarda doğu Avrupa ülkelerinin de katılımıyla büyümüştür. Avrupa Birliği şimdiki haliyle farklı gelişmişlik seviyelerini barındıran ülkelerden oluşmaktadır. Avrupa Birliği geliştirdiği ekonomi politikalarında şüphesiz ki birliğin bu yapısını göz önünde bulundurmalıdır. Ekonomik bir şok sonrası artış gösteren işsizliğin geri eski seviyelerine dönmediği durumu gösteren işsizlik histerisinin varlığı, birlik ülkelerinin politika yapıcıları için özellikle işsizlikle mücadele yöntemleri açısından önem arz etmektedir. Bu çalışma, 2001Q1-2019Q4 döneminde AB-15 ve AB-28 için işsizlik histerisini ortalama değerler üzerinden incelemeyi amaçlamaktadır. Çalışmada, metodoloji olarak Augmented Dickey Fuller (ADF) ve Phillips Perron (PP) gibi geleneksel birim kök testlerinin yanı sıra Bozoklu vd. (2020) tarafından geliştirilen Kesirli Frekanslı Fourier ADF Birim Kök Testi kullanılmıştır. Veriler, Avrupa Birliği'nin istatistiklerinin yayınlandığı resmi web sitesi Eurostat veri havuzundan elde edilmiştir. Çalışma sonucunda, kullanılan her üç analize göre de histeri hipotezinin AB-15 ve AB-28’de geçerli olduğuna dair kanıtlar bulunmuştur. Çalışmada, bilindiği kadarıyla literatürde yer alan en güncel birim kök testi olan Kesirli Frekanslı Fourier ADF Birim Kök Testinin kullanılması literatüre katkı sağlamaktadır.

References

  • Akcan, A. T. (2019). Türkiye'de gençlerin işsizlik histerisi. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 31-47.
  • Akdoğan, K. (2017). Unemployment hysteresis and structural change in Europe. Empirical Economics, 53(4), 1415-1440.
  • Ball, L., & Mankiw, N. G. (2002). The NAIRU in theory and practice. Journal of economic Perspectives. 16(4), 115-136.
  • Becker, R., Enders, W., Lee, J. (2004). A general test for time dependence in parameters. Journal of Applied Econometrics. 19, 899–906.
  • 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 and the European unemployment problem. NBER macroeconomics annual. 1, 15-78.
  • Bolat, S., Tiwari, A. K., & Erdayi, A. U. (2014). Unemployment hysteresis in the Eurozone area: evidences from nonlinear heterogeneous panel unit root test. Applied Economics Letters. 21(8), 536-540.
  • Bozoklu, S., Yilanci, V., & Gorus, M. S. (2020). Persistence in per capita energy consumption: a fractional integration approach with a Fourier function. Energy economics. 91, 104926.
  • Camarero, M., & Tamarit, C. (2004). Hysteresis vs. natural rate of unemployment: new evidence for OECD countries. Economics Letters, 84(3), 413-417.
  • Chang, T. (2011). Hysteresis in unemployment for 17 OECD countries: Stationary test with a Fourier function. Economic Modelling. 28(5), 2208-2214.
  • Christopoulos, D. K., & León‐Ledesma, M. A. (2007). Unemployment hysteresis in EU countries: what do we really know about it?. Journal of Economic Studies. 34(2), 80-89.
  • Christopoulos, D. K., & Leon-Ledesma, M. A. (2011). International output convergence, breaks, and asymmetric adjustment. Studies in Nonlinear Dynamics & Econometrics. 15(3).
  • Carrion-i-Silvestre, J. L., del Barrio-Castro, T., & Lopez-Bazo, E. (2005). Breaking the panels: an application to the GDP per capita. The Econometrics Journal, 159-175.
  • Cross, R., Darby, J., Ireland, J., Piscitelli, L. (1998). Hysteresis and unemployment: a preliminary investigation. Paper presented at CEF'99 (SCE-Conference), Boston, June 24-26th 1999.
  • 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, 427–431.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society. 1057-1072.
  • Doğaner, A. (2023). Avrupa Birliği ülkelerinde işsizlik histerisi hipotezinin doğrusal ve doğrusal olmayan birim kök testleriyle tespiti: 1991-2020 dönemi. İstanbul İktisat Dergisi, 72(2), 753-785.
  • Dreger, C., & Reimers, H. E. (2009). Hysteresis in the development of unemployment: The EU and US experience. Spanish Economic Review. 11(4), 267-276.
  • Enders, W., Lee, J. (2009). The Flexible Fourier Form and Testing for Unit Roots: An Example of the Term Structure of Interest Rates, Working Paper. Department of Economics, Finance & Legal Studies, University of Alabama, Tuscaloosa, AL, USA.
  • Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey–Fuller type unit root tests. Economics Letters. 117(1), 196-199.
  • Eurostat (16.02.2023). Data Browser. HuffPost. https://ec.europa.eu/eurostat/databrowser/view/une_rt_q_h/default/table?lang=en
  • Friedman, M. (1968). The Role Of Monetary Policy. American Economic Review. 58, 1–17.
  • Furuoka, F. (2017 a). A new test for analysing hysteresis in European unemployment. Applied Economics Letters. 24(15), 1102-1106.
  • Furuoka, F. (2017 b). A new approach to testing unemployment hysteresis. Empirical Economics. 53(3), 1253-1280.
  • Hadri, K., & Rao, Y. (2008). Panel stationarity test with structural breaks. Oxford Bulletin of Economics and statistics, 70(2), 245-269.
  • Jacobson, T., Vredin, A., & Warne, A. (1997). Common trends and hysteresis in Scandinavian unemployment. European Economic Review. 41(9), 1781-1816.
  • Jaeger, A., & Parkinson, M. (1994). Some evidence on hysteresis in unemployment rates. European Economic Review. 38(2), 329-342.
  • Jiang, Y., Cai, Y., Peng, Y. T., & Chang, T. (2019). Testing hysteresis in unemployment in G7 countries using quantile unit root test with both sharp shifts and smooth breaks. Social Indicators Research. 142(3), 1211-1229.
  • Jump, R. C., & Stockhammer, E. (2018). New evidence on unemployment hysteresis in the EU. https://www.euroframe.org/files/user_upload/euroframe/docs/2018/Conference/Session%204/EUROF18_Jump_Stockhammer.pdf
  • Klinger, S., & Weber, E. (2016). Detecting unemployment hysteresis: a simultaneous unobserved components model with Markov switching. Economics Letters. 144, 115-118.
  • Layard, P. R. G., Layard, R., Nickell, S. J., & Jackman, R. (2005). Unemployment: macroeconomic performance and the labour market. Oxford University Press on Demand.
  • León‐Ledesma, M. A., & McAdam, P. (2004). Unemployment, hysteresis and transition. Scottish Journal of Political Economy. 51(3), 377-401.
  • Li, J. P., Ranjbar, O., & Chang, T. (2017). Unemployment hysteresis in PIIGS countries: a new test with both sharp and smooth breaks. The Singapore Economic Review. 62(05), 1165-1177.
  • Mercan, M., Yurttançıkmaz, Z. Ç., & Çakmak, F. (2015). İşsizlik Histerisi Hipotezinin Türkiye, AB-15, AB-27, OECD ve G-8 Ülkeleri İçin Yatay Kesit Bağımlılığı ve Yapısal Kırılmalar Altında Testi: Dinamik Panel Veri Analizi. TISK Academy/TISK Akademi, 10(19).
  • Obradović, S., Ristić, L., & Lojanica, N. (2018). Are unemployment rates stationary for SEE10 countries? Evidence from linear and nonlinear dynamics. Zbornik Radova Ekonomski Fakultet u Rijeka. 36(2), 559-583.
  • Omay, T. (2015). Fractional frequency flexible Fourier form to approximate smooth breaks in unit root testing. Economics Letters. 134, 123-126.
  • Pascalau, R. (2010). Unit root tests with smooth breaks: an application to the Nelson– Plosser data set. Applied Economics Letters. 17, 565–570.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: journal of the Econometric Society. 1361-1401.
  • Phelps, E. S. (1967). Phillips curves, expectations of inflation and optimal unemployment over time. Economica. 254-281.
  • Phelps, E. S. (1968). Money-wage dynamics and labor-market equilibrium. Journal of political economy. 76 (4, Part 2), 678-711.
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika. 75(2), 335-346.
  • 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.
  • Srinivasan, N., & Mitra, P. (2012). Hysteresis in unemployment: Fact or fiction?. Economics Letters. 115(3), 419-422.
  • Yaya, O. S., Ogbonna, A. E., Furuoka, F., & Gil‐Alana, L. A. (2021). A new unit root test for unemployment hysteresis based on the autoregressive neural network. Oxford Bulletin of Economics and Statistics. 83(4), 960-981.
  • The Directorate for EU Affairs. (2023). HuffPost. https://www.ab.gov.tr/p.php?e=109 Yıldırım, S., & İnançlı, S. (2018). Türkiye’de işsizlik histerisis hipotezinin geçerliliğinin ampirik olarak değerlendirilmesi. Ekonomik ve Sosyal Araştırmalar Dergisi. 14, 45-54.
  • Yurdakul, F. (2000). Yapısal kırılmaların varlığı durumunda geliştirilen birim-kök testleri. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2(2), 21-34.

An Econometric Study on the Validity of the Unemployment Hysteresis Hypothesis in EU-15 and EU-28

Year 2023, Volume: 20 Issue: Human Behavior and Social Institutions, 842 - 851, 30.10.2023
https://doi.org/10.26466/opusjsr.1329033

Abstract

Unemployment is among the main economic problems not only for developed countries but also for underdeveloped countries. The European Union, which was mostly composed of developed Western European countries until 2004, has grown with the participation of Eastern European countries in the following years. In its current form, the European Union consists of countries with different levels of development. The European Union should undoubtedly consider this structure of the union in the economic policies it develops. The existence of unemployment hysteresis, which shows the situation in which unemployment, which increased after an economic shock, does not return to its former levels, is important for policymakers of the union countries, especially in terms of methods of combating unemployment. This study aims to examine unemployment hysteresis for the EU-15 and EU-28 over the average values in the 2001Q1-2019Q4 period. In addition to the traditional unit root tests of Augmented Dickey Fuller (ADF) and Phillips Perron (PP), the Fractional Frequency Fourier ADF Unit Root Test developed by Bozoklu et al. (2020) has been used as the methodology. The data are obtained from Eurostat, the official website of the European Union where statistics are published. As a result of the study, evidence is found that the hysteresis hypothesis is valid in EU-15 and EU-28 according to all three analyzes used. In the study, the use of the Fractional Frequency Fourier ADF Unit Root Test, which is the most up-to-date test, contributes to the literature.

References

  • Akcan, A. T. (2019). Türkiye'de gençlerin işsizlik histerisi. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 31-47.
  • Akdoğan, K. (2017). Unemployment hysteresis and structural change in Europe. Empirical Economics, 53(4), 1415-1440.
  • Ball, L., & Mankiw, N. G. (2002). The NAIRU in theory and practice. Journal of economic Perspectives. 16(4), 115-136.
  • Becker, R., Enders, W., Lee, J. (2004). A general test for time dependence in parameters. Journal of Applied Econometrics. 19, 899–906.
  • 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 and the European unemployment problem. NBER macroeconomics annual. 1, 15-78.
  • Bolat, S., Tiwari, A. K., & Erdayi, A. U. (2014). Unemployment hysteresis in the Eurozone area: evidences from nonlinear heterogeneous panel unit root test. Applied Economics Letters. 21(8), 536-540.
  • Bozoklu, S., Yilanci, V., & Gorus, M. S. (2020). Persistence in per capita energy consumption: a fractional integration approach with a Fourier function. Energy economics. 91, 104926.
  • Camarero, M., & Tamarit, C. (2004). Hysteresis vs. natural rate of unemployment: new evidence for OECD countries. Economics Letters, 84(3), 413-417.
  • Chang, T. (2011). Hysteresis in unemployment for 17 OECD countries: Stationary test with a Fourier function. Economic Modelling. 28(5), 2208-2214.
  • Christopoulos, D. K., & León‐Ledesma, M. A. (2007). Unemployment hysteresis in EU countries: what do we really know about it?. Journal of Economic Studies. 34(2), 80-89.
  • Christopoulos, D. K., & Leon-Ledesma, M. A. (2011). International output convergence, breaks, and asymmetric adjustment. Studies in Nonlinear Dynamics & Econometrics. 15(3).
  • Carrion-i-Silvestre, J. L., del Barrio-Castro, T., & Lopez-Bazo, E. (2005). Breaking the panels: an application to the GDP per capita. The Econometrics Journal, 159-175.
  • Cross, R., Darby, J., Ireland, J., Piscitelli, L. (1998). Hysteresis and unemployment: a preliminary investigation. Paper presented at CEF'99 (SCE-Conference), Boston, June 24-26th 1999.
  • 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, 427–431.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society. 1057-1072.
  • Doğaner, A. (2023). Avrupa Birliği ülkelerinde işsizlik histerisi hipotezinin doğrusal ve doğrusal olmayan birim kök testleriyle tespiti: 1991-2020 dönemi. İstanbul İktisat Dergisi, 72(2), 753-785.
  • Dreger, C., & Reimers, H. E. (2009). Hysteresis in the development of unemployment: The EU and US experience. Spanish Economic Review. 11(4), 267-276.
  • Enders, W., Lee, J. (2009). The Flexible Fourier Form and Testing for Unit Roots: An Example of the Term Structure of Interest Rates, Working Paper. Department of Economics, Finance & Legal Studies, University of Alabama, Tuscaloosa, AL, USA.
  • Enders, W., & Lee, J. (2012). The flexible Fourier form and Dickey–Fuller type unit root tests. Economics Letters. 117(1), 196-199.
  • Eurostat (16.02.2023). Data Browser. HuffPost. https://ec.europa.eu/eurostat/databrowser/view/une_rt_q_h/default/table?lang=en
  • Friedman, M. (1968). The Role Of Monetary Policy. American Economic Review. 58, 1–17.
  • Furuoka, F. (2017 a). A new test for analysing hysteresis in European unemployment. Applied Economics Letters. 24(15), 1102-1106.
  • Furuoka, F. (2017 b). A new approach to testing unemployment hysteresis. Empirical Economics. 53(3), 1253-1280.
  • Hadri, K., & Rao, Y. (2008). Panel stationarity test with structural breaks. Oxford Bulletin of Economics and statistics, 70(2), 245-269.
  • Jacobson, T., Vredin, A., & Warne, A. (1997). Common trends and hysteresis in Scandinavian unemployment. European Economic Review. 41(9), 1781-1816.
  • Jaeger, A., & Parkinson, M. (1994). Some evidence on hysteresis in unemployment rates. European Economic Review. 38(2), 329-342.
  • Jiang, Y., Cai, Y., Peng, Y. T., & Chang, T. (2019). Testing hysteresis in unemployment in G7 countries using quantile unit root test with both sharp shifts and smooth breaks. Social Indicators Research. 142(3), 1211-1229.
  • Jump, R. C., & Stockhammer, E. (2018). New evidence on unemployment hysteresis in the EU. https://www.euroframe.org/files/user_upload/euroframe/docs/2018/Conference/Session%204/EUROF18_Jump_Stockhammer.pdf
  • Klinger, S., & Weber, E. (2016). Detecting unemployment hysteresis: a simultaneous unobserved components model with Markov switching. Economics Letters. 144, 115-118.
  • Layard, P. R. G., Layard, R., Nickell, S. J., & Jackman, R. (2005). Unemployment: macroeconomic performance and the labour market. Oxford University Press on Demand.
  • León‐Ledesma, M. A., & McAdam, P. (2004). Unemployment, hysteresis and transition. Scottish Journal of Political Economy. 51(3), 377-401.
  • Li, J. P., Ranjbar, O., & Chang, T. (2017). Unemployment hysteresis in PIIGS countries: a new test with both sharp and smooth breaks. The Singapore Economic Review. 62(05), 1165-1177.
  • Mercan, M., Yurttançıkmaz, Z. Ç., & Çakmak, F. (2015). İşsizlik Histerisi Hipotezinin Türkiye, AB-15, AB-27, OECD ve G-8 Ülkeleri İçin Yatay Kesit Bağımlılığı ve Yapısal Kırılmalar Altında Testi: Dinamik Panel Veri Analizi. TISK Academy/TISK Akademi, 10(19).
  • Obradović, S., Ristić, L., & Lojanica, N. (2018). Are unemployment rates stationary for SEE10 countries? Evidence from linear and nonlinear dynamics. Zbornik Radova Ekonomski Fakultet u Rijeka. 36(2), 559-583.
  • Omay, T. (2015). Fractional frequency flexible Fourier form to approximate smooth breaks in unit root testing. Economics Letters. 134, 123-126.
  • Pascalau, R. (2010). Unit root tests with smooth breaks: an application to the Nelson– Plosser data set. Applied Economics Letters. 17, 565–570.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: journal of the Econometric Society. 1361-1401.
  • Phelps, E. S. (1967). Phillips curves, expectations of inflation and optimal unemployment over time. Economica. 254-281.
  • Phelps, E. S. (1968). Money-wage dynamics and labor-market equilibrium. Journal of political economy. 76 (4, Part 2), 678-711.
  • Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika. 75(2), 335-346.
  • 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.
  • Srinivasan, N., & Mitra, P. (2012). Hysteresis in unemployment: Fact or fiction?. Economics Letters. 115(3), 419-422.
  • Yaya, O. S., Ogbonna, A. E., Furuoka, F., & Gil‐Alana, L. A. (2021). A new unit root test for unemployment hysteresis based on the autoregressive neural network. Oxford Bulletin of Economics and Statistics. 83(4), 960-981.
  • The Directorate for EU Affairs. (2023). HuffPost. https://www.ab.gov.tr/p.php?e=109 Yıldırım, S., & İnançlı, S. (2018). Türkiye’de işsizlik histerisis hipotezinin geçerliliğinin ampirik olarak değerlendirilmesi. Ekonomik ve Sosyal Araştırmalar Dergisi. 14, 45-54.
  • Yurdakul, F. (2000). Yapısal kırılmaların varlığı durumunda geliştirilen birim-kök testleri. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2(2), 21-34.
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Details

Primary Language English
Subjects Economic Demography
Journal Section Research Articles
Authors

Mustafa Yılmaz 0000-0001-6131-2663

Early Pub Date October 27, 2023
Publication Date October 30, 2023
Published in Issue Year 2023 Volume: 20 Issue: Human Behavior and Social Institutions

Cite

APA 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(Human Behavior and Social Institutions), 842-851. https://doi.org/10.26466/opusjsr.1329033