OECD ÜLKELERİNDE İŞSİZLİK HİSTERİSİNİN İNCELENMESİ: DOĞRUSAL OLMAYAN FOURIER KIRILMALI TESTLERDEN KANITLAR

Öz

Çalışmanın amacı, 36 OECD ülkesinde İşsizlik Histerisi Hipotezi’nin geçerliliğini ampirik olarak sınamaktır. Ampirik analiz, her ülke için en geniş dönemi kapsayacak şekilde aylık bazda işsizlik oranı değişkeni üzerinden farklı varsayımlara ve özelliklere sahip birim kök testleri ile yapılmaktadır. Bulgulara göre, verilerin normal dağılımını varsayan ADF testinde ülkelerin %75’inde, verilerin normal dağılım göstermediğini varsayan RALS-ADF testinde ülkelerin %67’sinde, verilerin doğrusal olmayan bir sürece sahip olduğunu varsayan KSS testinde ülkelerin %56’sında, keskin kırılmaları dikkate alan ve verilerin normal dağıldığını varsayan ZA testinde ülkelerin %83’ünde, fourier kırılmaları dikkate alan ve verilerin normal dağıldığını varsayan Fourier-ADF testinde ülkelerin %47’sinde ve son olarak fourier kırılmaları dikkate alan ve verilerin doğrusal olmayan bir sürece sahip olduğunu varsayan Fourier-KSS testinde ülkelerin %53’ünde İşsizlik Histerisi Hipotezi geçerlidir. Sonuçlar, İşsizlik Histerisi Hipotezi’nin geçerli olduğu ülke sayısının fourier kırılmaları dikkate alan testlerde azaldığını ortaya koymaktadır. Özetle, Fourier-ADF testi dışındaki tüm birim kök testlerinde OECD ülkelerinde ağırlıklı olarak histeri etkisinin varlığına işaret etmektedir.

Anahtar Kelimeler

• İşsizlik Histerisi
• Doğal Oran
• Fourier-KSS

EXAMINING UNEMPLOYMENT HYSTERESIS IN OECD COUNTRIES: EVIDENCE FROM NON-LINEAR FOURIER UNIT ROOT TESTS

Öz

The aim of the paper is to empirically test the validity of the Unemployment Hysteresis Hypothesis in 36 OECD countries. Empirical analysis is carried out with unit root tests with different assumptions and features over the unemployment rate variable on a monthly basis, covering the widest period for each country. According to the findings, the Unemployment Hysteresis Hypothesis is valid in 75% of the countries in the ADF test, which assumes the normal distribution of the data, in 67% of the countries in the RALS-ADF test, which assumes that the data do not show normal distribution, in 56% of the countries in KSS test, which assumes that the data has a non-linear process, in 83% of the countries in the ZA test, which takes into account sharp breaks and assumes that the data are normally distributed, in 47% of the countries in the Fourier-ADF test, which takes into account fourier breaks and assumes that the data are normally distributed and finally in 53% of the countries in the Fourier-KSS, which considers Fourier breaks and assumes that the data have a nonlinear process. The results reveal that the number of countries in which the Unemployment Hysteresis Hypothesis is valid decreases in tests that take into account the Fourier breaks. In summary, all unit root tests except the Fourier-ADF test indicate the existence of hysteresis effects in OECD countries.

Anahtar Kelimeler

• Unemployment Hysteresis
• Natural Rate
• Fourier-KSS

Kaynakça

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