The Dynamics of Output Gap Hysteresis in Türkiye

Yıl 2025, Cilt: 10 Sayı: 1, 1 - 26, 28.03.2025

Koray Yıldırım , Neşe Algan , Harun Bal

https://doi.org/10.30784/epfad.1576481

Öz

The aim of this study is to identify the dynamics and hysteresis of the output gap. First, the existence of an output gap in the Turkish economy for the period 2005Q4:2021Q3 is determined using the Hodrick-Prescott and Baxter-King methods, and then the structural break procedure, which is widely used in the literature, is applied to detect hysteresis. The presence of a structural break supports the existence of hysteresis in the output gap. In addition, a structural VAR model is estimated with money supply, capacity utilization rate, and capital productivity variables as components of the output gap. While the empirical evidence points to the role of capacity utilization and productivity variables in explaining hysteresis, capacity utilization shocks are relatively stronger determinants of output gap hysteresis. For future studies, the effect of money supply on capacity utilization and productivity, labor productivity, etc., should be monitored. The novelty of the study is the modeling of hysteresis in a structure that includes demand-side and supply-side components. This innovation allows it to act as a guide for policymaking by taking into account the dynamic conditions appropriate to the nature of hysteresis beyond the static situation, such as the detection of hysteresis in the literature.

Anahtar Kelimeler

Output Gap, Hysteresis, Structural Break, Structural VAR

Türkı̇ye'de Çıktı Açığı Hı̇sterezisinin Dı̇namikleri

Öz

Bu çalışmanın amacı çıktı açığı histerezis ve dinamiklerinin tespit edilmesidir. İlk olarak Türkiye ekonomisinde çıktı açığının varlığı 2005Q4:2021Q3 dönemi için Hodrick-Prescott ve Baxter-King yöntemleri ile tespit edildikten sonra histerezisin tespiti için literatürde yaygın bir şekilde kullanılan yapısal kırılma prosedürü uygulanmıştır. Yapısal kırılmanın varlığı çıktı açığında histerezisin varlığını desteklemektedir. Ayrıca çıktı açığı bileşenleri olarak para arzı, kapasite kullanım oranı ve sermaye verimliliği değişkenleri ile Yapısal VAR modeli tahmin edilmiştir. Ampirik bulgular histerezisi açıklamada kapasite kullanım oranı ve verimlilik değişkenlerini işaret ederken nispi olarak kapasite kullanım oranı şokları çıktı açığı histerezisinde daha güçlü bir belirleyicidir. Gelecek çalışmalar için para arzının kapasite kullanım oranı ve verimlilik üzerindeki etkisi, işgücü verimliliği izlenmesi gereken noktalar arasındadır. Çalışmanın yeniliği histerezisin talep yanlı ve arz yanlı bileşenlerini içerecek yapıda modellemesidir. Bu yenilik literatürde histerezisin tespiti gibi statik durumun ötesinde histerezisin doğasına uygun dinamik koşulları dikkate alarak politika yapımında rehber görevi üstlenmesine imkan sağlamaktadır.

Anahtar Kelimeler

Çıktı Açığı, Histerezis, Yapısal Kırılma, Yapısal VAR

Kaynakça

• Acharya, S., Bengui, J., Dogra, K. and Wee, S.L. (2022). Slow recoveries and unemployment traps: Monetary policy in a time of hysteresis. The Economic Journal, 132(646), 2007-2047. https://doi.org/10.1093/ej/ueac016
• Adler, G., Duval, M.R.A., Furceri, D., Çelik, S.K., Koloskova, K. and Poplawski-Ribeiro, M. (2017). Gone with the headwinds: Global productivity (IMF Discussion Note No. SDN/17/04). Retrieved from https://hacerperu.pe/wp-content/uploads/2023/05/Adler-et-al-2017.pdf
• Akcan, A.T. (2019). Türkiye'de gençlerin işsizlik histerisi. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 21(1), 31-47. Retrieved from https://dergipark.org.tr/en/pub/iibfdkastamonu/
• Amadeo, E.J. (1986). Notes on capacity utilisation, distribution and accumulation. Contributions to Political Economy, 5(1), 83-94. https://doi.org/10.1093/oxfordjournals.cpe.a035705
• Amisano, G. and Giannini, C. (2012). Topics in structural VAR econometrics. Berlin: Springer.
• Anzoategui, D., Comin, D., Gertler, M. and Martinez, J. (2019). Endogenous technology adoption and R&D as sources of business cycle persistence. American Economic Journal: Macroeconomics, 11(3), 67-110. Retrieved from https://www.aeaweb.org/
• Aydin, C. and Esen, Ö. (2017). Inflationary threshold effects on the relationship between unemployment and economic growth: Evidence from Turkey. International Journal of Economic Perspectives, 11(2), 88-97. Retrieved from https://ijeponline.org/
• Ball, L. (2014). Long-term damage from the Great Recession in OECD countries. European Journal of Economics and Economic Policies: Intervention, 11(2), 149-160. https://doi.org/10.4337/ejeep.2014.02.02
• Ball, L. (2015). Monetary policy for a high-pressure economy. Retrieved from https://www.cbpp.org/sites/default/files/atoms/files/3_30_15fe_ball.pdf
• Ball, L. and Onken, J. (2022). Hysteresis in unemployment: Evidence from OECD estimates of the natural rate. International Finance, 25(3), 268-284. https://doi.org/10.1111/infi.12424
• Ball, L.M. (2009). Hysteresis in unemployment: Old and new evidence (NBER Working Paper No. w14818). Retrieved from https://www.nber.org/system/files/working_papers/w14818/w14818.pdf
• Bassi, F. (2019). Capacity Utilization and the NAIRCU-Evidences of Hysteresis in EU countries (CEPN Working Papers No. 2019-09). Retrieved from https://econpapers.repec.org/paper/upnwpaper/2019-09.htm
• Bassi, F. (2024). Excess capacity and hysteresis in EU Countries. A structural approach. Structural Change and Economic Dynamics, 71, 116-134. https://doi.org/10.1016/j.strueco.2024.07.002
• Bassi, F., Bauermann, T., Lang, D. and Setterfield, M. (2022). Is capacity utilization variable in the long run? An agent-based sectoral approach to modeling hysteresis in the normal rate of capacity utilization. Structural Change and Economic Dynamics, 63, 196-212. https://doi.org/10.1016/j.strueco.2022.09.005
• Benati, L. and Lubik, T.A. (2021). Searching for hysteresis (Bern University Discussion Papers No. 21-07). Retrieved from https://hdl.handle.net/10419/242858
• Bernanke, B.S. and Mihov, I. (1998). The liquidity effect and long-run neutrality (NBER Working Paper Series No. 6608.) Retrieved from https://www.nber.org/system/files/working_papers/w6608/w6608.pdf
• Blanchard, O. (2018). Should we reject the natural rate hypothesis? Journal of Economic Perspectives, 32(1), 97-120. doi:10.1257/jep.32.1.97
• Blanchard, O., Cerutti, E. and Summers, L. (2015). Inflation and activity–two explorations and their monetary policy implications (NBER Working Paper No. w21726). Retrieved from https://www.nber.org/system/files/working_papers/w21726/w21726.pdf
• Blanchard, O.J. and Summers, L.H. (1986). Hysteresis and the European unemployment problem. NBER Macroeconomics Annual, 1, 15-78. Retrieved from https://www.journals.uchicago.edu/
• Blomström, M., Lipsey, R.E. and Zejan, M. (1996). Is fixed investment the key to economic growth? The Quarterly Journal of Economics, 111(1), 269-276. https://doi.org/10.2307/2946665
• Borio, C.E. and Hofmann, B. (2017). Is monetary policy less effective when interest rates are persistently low? (BIS Working Paper No. 628). Retrieved from https://ssrn.com/abstract=2957961
• Brunello, G. (1990). Hysteresis and “the Japanese unemployment problem”: A preliminary investigation. Oxford Economic Papers, 42(3), 483-500. https://doi.org/10.1093/oxfordjournals.oep.a041959
• Campbell, J.Y. and Mankiw, N.G. (1987). Are output fluctuations transitory? The Quarterly Journal of Economics, 102(4), 857-880. https://doi.org/10.2307/1884285
• Cerra, M.V., Fatás, A. and Saxena, M.S.C. (2020). Hysteresis and business cycles. Journal of Economic Literature, 61(1), 181-225. doi:10.1257/jel.20211584
• Clavijo-Cortes, P. (2022). Output hysteresis in the US: New evidence from a time-varying Verdoorn's law. Journal of Economic Studies, 49(1), 185-197. https://doi.org/10.1108/JES-06-2020-0263
• Cremaschini, A. and Maruotti, A. (2023). A finite mixture analysis of structural breaks in the G-7 gross domestic product series. Research in Economics, 77(1), 76-90. 10.1016/j.rie.2023.01.001
• Cross, R. (1993). On the foundations of hysteresis in economic systems. Economics & Philosophy, 9(1), 53-74. https://doi.org/10.1017/S0266267100005113
• Di Domenico, L., Gahn, S.J. and Romaniello, D. (2024). Testing the waters of positive hysteresis: The effects of autonomous demand shocks on ınflation, accumulation, and labor in the US economy (CSWP Working Papers No. CSWP64). Retrieved from http://www.centrosraffa.org/centrosraffaworkingpapersSEARCH.aspx
• Dosi, G., Pereira, M.C., Roventini, A. and Virgillito, M.E. (2018). Causes and consequences of hysteresis: Aggregate demand, productivity, and employment. Industrial and Corporate Change, 27(6), 1015-1044. https://doi.org/10.1093/icc/dty010
• Dungey, M. and Pagan, A. (2000). A structural VAR model of the Australian economy. Economic Record, 76(235), 321-342. https://doi.org/10.1111/j.1475-4932.2000.tb00030.x
• Durand, L. and Fornero, J.A. (2024). Estimating the output gap in times of COVID-19. Latin American Journal of Central Banking, 5(4), 100129. https://doi.org/10.1016/j.latcb.2024.100129
• Dutt, A.K. (1997). Dependence and hysteresis in post Keynesian models. Markets, Unemployment, and Economic Policy, 2, 238. https://doi.org/10.4324/9780203848456
• Engler, P. and Tervala, J. (2018). Hysteresis and fiscal policy. Journal of Economic Dynamics and Control, 93, 39-53. https://doi.org/10.1016/j.jedc.2018.02.002
• Eo, Y. and Morley, J. (2022). Why has the US economy stagnated since the Great Recession? Review of Economics and Statistics, 104(2), 246-258. https://doi.org/10.1162/rest_a_00957
• Fatás, A. and Singh, S.R. (2024). Supply or demand? Policy makers’ confusion in the presence of hysteresis. European Economic Review, 161, 104617. https://doi.org/10.1016/j.euroecorev.2023.104617
• Fatás, A. and Summers, L.H. (2016). The permanent effects of fiscal consolidations. Journal of International Economics, 112, 238-250. https://doi.org/10.1016/j.jinteco.2017.11.007
• Fedderke, J. (2004). Investment in fixed capital stock: Testing for the impact of sectoral and systemic uncertainty. Oxford Bulletin of Economics and Statistics, 66(2), 165-187. https://doi.org/10.1046/j.0305-9049.2003.00078.x
• Fontana, G. and Palacio‐Vera, A. (2007). Are long‐run price stability and short‐run output stabilization all that monetary policy can aim for? Metroeconomica, 58(2), 269-298. https://doi.org/10.1111/j.1467-999X.2007.00268.x
• Fritsche, U. and Logeay, C. (2002). Structural unemployment and the output gap in Germany: Evidence from an SVAR analysis within a hysteresis framework (DIW Discussion Papers No. 312). Retrieved from https://www.econstor.eu/handle/10419/18047
• Furlanetto, F., Lepetit, A., Robstad, Ø., Rubio-Ramírez, J. and Ulvedal, P. (2025). Estimating hysteresis effects. American Economic Journal: Macroeconomics, 17(1), 35-70. Retrieved from https://www.aeaweb.org/
• Gali, J., Gertler, M. and Lopez-Salido, J.D. (2007). Markups, gaps, and the welfare costs of business fluctuations. The Review of Economics and Statistics, 89(1), 44-59. https://doi.org/10.1162/rest.89.1.44
• Garga, V. and Singh, S.R. (2021). Output hysteresis and optimal monetary policy. Journal of Monetary Economics, 117, 871-886. https://doi.org/10.1016/j.jmoneco.2020.06.005
• Girardi, D., Paternesi Meloni, W. and Stirati, A. (2020). Reverse hysteresis? Persistent effects of autonomous demand expansions. Cambridge Journal of Economics, 44(4), 835-869. https://doi.org/10.1093/cje/beaa009
• Hansen, G.D. and Wright, R. (1998). The labor market in real business cycle theory. In J.E. Hartley, K.D. Hoover and K.D. Salyer (Eds.), Real business cycles: A reader (pp. 168-178). London: Routledge.
• Hodrick, R.J. and Prescott, E.C. (1997). Postwar US business cycles: An empirical investigation. Journal of Money, credit, and Banking, 29(1), 1-16. https://doi.org/10.2307/2953682
• Iacobucci, A. and Noullez, A. (2005). A frequency selective filter for short-length time series. Computational Economics, 25(1), 75-102. https://doi.org/10.1007/s10614-005-6276-7
• IMF. (2009). “What’s the damage? medium-term output dynamics after financial crises. Retrieved from https://www.bookstore.imf.org/books/financial-crises-causes-consequences-and-policy-responses
• Inaba, M., Nutahara, K. and Shirai, D. (2020). What drives fluctuations of labor wedge and business cycles? Evidence from Japan (RISS Discussion Paper Series No. 89). Retrieved from https://www.kansai-u.ac.jp/riss/output/paper/pdf/RISS_DP_No89.pdf
• Jordà, Ò., Singh, S.R. and Taylor, A.M. (2020). The long-run effects of monetary policy (NBER Working Paper No. w26666). Retrieved from https://www.nber.org/system/files/working_papers/w26666/w26666.pdf
• Jump, R.C. and Levine, P. (2021). Hysteresis in the New Keynesian three equation model (University of Surrey Discussion Papers in Economics No. 0821). Retrieved from https://www.surrey.ac.uk/sites/default/files/2021-09/DP08-21.pdf
• Kargi, B. (2024). Evidence of Turkey falling into the middle ıncome trap. The Pakistan Development Review, 63(3), 383-398. Retrieved from https://thepdr.pk/
• Kienzler, D. and Schmid, K.D. (2014). Hysteresis in potential output and monetary policy. Scottish Journal of Political Economy, 61(4), 371-396. https://doi.org/10.1111/sjpe.12050
• Kilian, L. (2013). Structural vector autoregressions (CEPR Discussion Paper No. DP8515). Retrieved from https://ssrn.com/abstract=1908563
• King, R.G. and Plosser, C.I. (1982). The behavior of money, credit, and prices in a real business cycle (NBER Working Paper No. 853). Retrieved from https://www.nber.org/system/files/working_papers/w0853/w0853.pdf
• Köberl, E.M. and Lein, S.M. (2011). The NIRCU and the Phillips curve: An approach based on micro data. Canadian Journal of Economics/Revue Canadienne D'économique, 44(2), 673-694. https://doi.org/10.1111/j.1540-5982.2011.01649.x
• Lavoie, M. (2018). Rethinking macroeconomic theory before the next crisis. Review of Keynesian Economics, 6(1), 1-21. https://doi.org/10.4337/roke.2018.01.01
• Leybourne, S., Newbold, P. and Vougas, D. (1998). Unit roots and smooth transitions. Journal of Time Series Analysis, 19(1), 83-97. https://doi.org/10.1111/1467-9892.00078
• Li, J., Zhang, J., Gong, L. and Miao, P. (2015). Research on the total factor productivity and decomposition of Chinese coastal marine economy: Based on DEA-Malmquist index. Journal of Coastal Research, 73(10073), 283-289. https://doi.org/10.2112/SI73-050.1
• Lucas, R.E. (1973). Some international evidence on output-inflation tradeoffs. The American Economic Review, 63(3), 326-334. Retrieved from https://www.jstor.org/
• Ma, C., Rogers, J.H. and Zhou, S. (2020). Modern pandemics: Recession and recovery (SSRN Paper No. 3565646). http://dx.doi.org/10.2139/ssrn.3565646
• Mankiw, N.G. (1989). Real business cycles: A new Keynesian perspective. Journal of Economic Perspectives, 3(3), 79-90. https://doi.org/10.1007/978-1-349-24002-9_18
• Michl, T.R. (2018). Hysteresis in a three-equation model. Eastern Economic Journal, 44(2), 305-322. https://doi.org/10.1057/s41302-016-0083-9
• Michl, T.R. and Oliver, K.M. (2019). Combating hysteresis with output targeting. Review of Keynesian Economics, 7(1), 6-27. https://doi.org/10.4337/roke.2019.01.02
• Mishkin, F.S. (2017). Rethinking monetary policy after the crisis. Journal of International Money and Finance, 73, 252-274. https://doi.org/10.1016/j.jimonfin.2017.02.007
• Mitchell, W.F. (1993). Testing for unit roots and persistence in OECD unemployment rates. Applied Economics, 25(12), 1489-1501. https://doi.org/10.1080/00036849300000153
• Mourougane, A. (2017). Crisis, potential output and hysteresis. International Economics, 149, 1-14. https://doi.org/10.1016/j.inteco.2016.07.001
• Oomes, N. and Dynnikova, O. (2006). The utilization-adjusted output gap: Is the Russian economy overheating? (IMF Working Paper No. 06/68). Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=898729
• Orphanides, A., Porter, R.D., Reifschneider, D., Tetlow, R. and Finan, F. (2000). Errors in the measurement of the output gap and the design of monetary policy. Journal of Economics and Business, 52(1-2), 117-141. https://doi.org/10.1016/S0148-6195(99)00031-4
• Ozturk, M. (2020). Validity of the unemployment hysteresis hypothesis in Turkey: Multidimensional and asymmetrical approach. OPUS International Journal of Society Researches, 15(1), 4882-4910. https://doi.org/10.26466/opus.725553
• Parigi, G. and Siviero, S. (2001). An investment-function-based measure of capacity utilisation: Potential output and utilised capacity in the Bank of Italy's quarterly model. Economic Modelling, 18(4), 525-550. https://doi.org/10.1016/S0264-9993(00)00051-1
• Pollard, S. (1964). Fixed capital in the industrial revolution in Britain. The Journal of Economic History, 24(3), 299-314. https://doi.org/10.1017/S0022050700060861
• Redmond, M. and Van Zandweghe, W. (2016). The lasting damage from the financial crisis to US productivity. Economic Review, 101(1), 39-64. Retrieved from https://www.kansascityfed.org/
• Romer, C.D. and Romer, D.H. (2017). New evidence on the aftermath of financial crises in advanced countries. American Economic Review, 107(10), 3072-3118. doi:10.1257/aer.20150320
• Rowthorn, R. (1995). Capital formation and unemployment. Oxford Review of Economic Policy, 11(1), 26-39. https://doi.org/10.1093/oxrep/11.1.26
• Setterfield, M. and Avritzer, J.D. (2020). Hysteresis in the normal rate of capacity utilization: A behavioral explanation. Metroeconomica, 71(4), 898-919. https://doi.org/10.1111/meca.12307
• Solow, R. (2000). Unemployment in the United States and in Europe-A contrast and the reasons (CESifo Working Paper No. 231). Retrieved from https://www.econstor.eu/bitstream/10419/75622/1/cesifo_wp231.pdf
• Stiglitz, J. (2018). The myth of secular stagnation. Project Syndicate, 28, 1-3. Retrieved from https://www.economics.utoronto.ca/
• Summers, L.H. (2014). US economic prospects: Secular stagnation, hysteresis, and the zero lower bound. Business Economics, 49(2), 65-73. https://doi.org/10.1007/978-1-137-57251-6_38
• Tekin, İ. (2018). Unemployment hysteresis in Turkey: Stationarity tests with Fourier functions. İzmir Journal of Economics, 33(1), 97-127. https://doi.org/10.24988/deuiibf.2018331685
• Tervala, J. (2021). Hysteresis and the welfare costs of recessions. Economic Modelling, 95, 136-144. https://doi.org/10.1016/j.econmod.2020.12.012
• Tervala, J. and Watson, T. (2022). Hysteresis and fiscal stimulus in a recession. Journal of International Money and Finance, 124, 102614. https://doi.org/10.1016/j.jimonfin.2022.102614
• Van Aarle, B. (2016). Secular stagnation: Insights from a New Keynesian model with hysteresis effects. In G.D. Bartolomeo and E. Saltari (Eds.), Theoretical foundations of macroeconomic policy: Growth, productivity and public finance. London: Routledge.
• Wong, B. (2017). Historical decompositions for nonlinear vector autoregression models (CAMA Working Papers No. 62/2017). Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3057759
• Yellen, J.L. (2015). The outlook for the economy: A speech at the Providence Chamber of Commerce, Providence, Rhode Island. Retrieved from https://ideas.repec.org/p/fip/fedgsq/851.html
• Zarnowitz, V. (1991). What is a business cycle? (NBER Working Paper Series No. 3863). Retrieved from https://www.nber.org/system/files/working_papers/w3863/w3863.pdf
• Zivot, E. (2000). Notes on structural VAR modeling. Retrieved from https://www.eco.uc3m.es/~jgonzalo/teaching/timeseriesma/zivotvarnotes-reading.pdf
• Zivot, E. and Andrews, D.W.K. (2002). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44. https://doi.org/10.1198/073500102753410372