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Time-Varying Okun Coefficient and Its Determinants: An Empirical Analysis

Yıl 2021, Cilt: 22 Sayı: 1, 101 - 113, 20.06.2021
https://doi.org/10.17494/ogusbd.952765

Öz

Okun Law (1962) shows the trade-off between the unemployment rate and economic growth. In this study, we propose a distinct and advantegous empirical methodology, multivariate autoregressive conditional variance-dynamic conditional correlation (DCC-GARCH) model to examine the time-varying structure of Okun coefficient. Using quarterly data on economic growth and unemployment over the periods of 1990:1-2017:4 from 45 countries, a DCC-GARCH (1,1) model is estimated for each country in the sample. Further, this study goes on to examine the possible factors affecting Okun’s coefficient by second generation panel regression models. To this end, common correlated effects mean group (CCEMG) model is estimated. The findings show that the time-varying Okun coefficients are associated mainly with productivity shocks. More specifically, productivity shocks seem to reduce the magnitude of the linkage between unemployment and growth.

Kaynakça

  • Balakrishnan, R., Das, M. ve Kannan, P. (2010). Unemployment Dynamics During Recessions and Recoveries: Okun’s Law and Beyond. World Economic Outlook (Chapter 3), IMF Survey Articles.
  • Ball, L.M., Leigh, D. ve Loungani, P. (2013). Okun’s Law: Fit at Fifty?. NBER Working Paper, No. 18668.
  • Beaton, K. (2010). Time Variation in Okun’s Law: A Canada and U.S. Comparison. Bank of Canada Working Paper, 2010-7.
  • Blackley, P.R. (1991). The Measurement and Determination of Okun’s Law: Evidence from State Economies. Journal of Macroeconomics, 13(4), 641-656.
  • Brooks R.D., Faff R.W. ve McKenzie M. (2002). Time Varying Country Risk: An Assessment of Alternative Modelling Techniques. The European Journal of Finance, 8 (3), 249-274.
  • Crespo Cuaresma, J. (2003). Revisiting Okun’s Law: A Piecewise-Linear Approach. Oxford Bulletin of Economics and Statistics, 65 (4), 439-451.
  • Devlet Planlama Teşkilatı. (2007). 9.Kalkınma Planı (2007-2013) İşgücü Piyasası Özel İhtisas Komisyonu Raporu (Rapor No: DPT: 2709-ÖİK:662). Ankara: Devlet Planlama Teşkilatı.
  • Engle, R. (2002). Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models. Journal of Business and Economic Statistics, 20 (3), 339-350.
  • Guisinger A. Y., Hernandez-Murillo R., Owyang M.T. ve Sinclair T. M. (2017). A State-Level Analysis of Okun's Law. Federal Reserve Bank of St. Louis Research Division Working Paper, 2015-029B.
  • Huang, H.C. ve Chang, Y.K. (2005). Investigating Okun’s Law by the Structural Break with Threshold Approach: evidence from Canada. The Manchester School, 73 (5), 599-611.
  • Huang, H.C. ve Lin, S.C. (2006). A Flexible Nonlinear Inference to Okun’s Relationship. Applied Economics Letters, 13(5), 325-331.
  • Huang, H.C. ve Lin, S.C. (2008). Smooth-Time-Varying Okun’s Coefficients. Economic Modelling, 25 (2), 363-375.
  • Holmes, M.J. ve Silverstone, B. (2006). Okun’s Law, Asymmetries and Jobless Recoveries in The United States: A Markov-Switching Approach. Economics Letters, 92 (2), 293-299.
  • ILO. (2005). World Employment Report 2005. Geneva- Switzerland: ILO.
  • Knotek, E.S. (2007). How Useful is Okun’s Law?. Federal Reserve Bank of Kansas City Economic Review, 92 (Fourth Quarter), 73-103.
  • Lee, J. (2000). The Robustness of Okun’s Law: Evidence From OECD Countries. Journal of Macroeconomics, 22 (2), 331-356.
  • Malley, J. ve Molana, H. (2008). Output, Unemployment and Okun’s Law: Some Evidence From the G7. Economic Letters, 101 (2), 113-115.
  • Marshall A., Maulana T. ve Tang L. (2009). The Estimation and Determinants of Emerging Market Country Risk and The Dynamic Conditional Correlation GARCH Model. International Review of Financial Analysis, 18 (5), 250-259.
  • McKinsey Global Institute. (Haziran 2011). An Economy That Works: Job Creation and America’s Future. San Francisco, California: McKinsey Global Institute.
  • Moosa, I.A. (1997). A Cross-Country Comparison of Okun’s Coefficient. Journal of Comparative Economics, 24 (3), 335-356.
  • Nickell, S. (1997). Unemployment and Labor Market Rigidities: Europe Versus North America. Journal of Economic Perspectives, 11(3), 55-74.
  • Okun, A.M. (1962). Potential GNP: Its Measurement And Significance. In: Proceedings of the Business and Economic Statistics Section, American Statistical Association, 98-103.
  • Österholm, P. (2016). Time Variation in Okun’s Law in Sweden. Applied Economics Letters, 23 (6), 436-439.
  • Özkan, İ. ve Erden L. (2015). Time-Varying Nature and Macroeconomic Determinants of Exchange Rate Pass-Through. International Review of Economics and Finance, 38, 56-66.
  • Perman, R. ve Tavera, C. (2005). A Cross-Country Analysis of The Okun’s Law Coefficient Convergence in Europe. Applied Economics, 37(21), 2501-2513.
  • Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. Cambridge Working Papers in Economics 0435.
  • Pesaran, M.H. (2006). Estimation and Inference in Large Heterogenous Panels with a Multifactor Error Structure. Econometrica, 74 (4), 967-1012.
  • Pesaran, M.H. (2007). A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence. Journal of Applied Econometrics, 22(2), 265-312.
  • Pesaran, M.H. ve Yamagata, T. (2008). Testing Slope Homogeneity in The Large Panels. Journal of Econometrics, 142 (1), 50-93.
  • Silvapulle, P., Moosa, I.A. ve Silvapulle, M.J. (2004). Asymmetry in Okun’s Law. Canadian Journal of Economics, 37(2), 353-374.
  • Silvennoinen, A. ve Terasvirta, T. (2008). Multivariate GARCH Models. SSE/EFI Working Paper Series in Economics and Finance, No.669. Erişim: 13 Mart 2017, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1148139.
  • Sögner, L. (2001). Okun’s Law: Does the Austrian Unemployment-GDP Relationship Exhibit Structural Breaks?. Empirical Economics, 26 (3), 553-564.
  • Sögner, L. ve Stiassny, A. (2002). An Analysis on The Structural Stability of Okun’s Law-A Cross-Country Study. Applied Economics, 34 (14), 1775-1787.
  • Tatoğlu, Y.F. (2017). Panel Zaman Serileri Analizi. İstanbul: Beta Yayınları.
  • Valadkhani, A. ve Smyth, R. (2015). Switching and Asymmetric Behaviour of the Okun Coefficient in the US: Evidence for the 1948-2015 Period. Economic Modelling, 50, 281-290.
  • Villaverde, J. ve Maza, A. (2009). The Robustness of Okun’s Law in Spain, 1980-2004: Regional Evidence. Journal of Policy Modeling, 31(2), 289-297.
  • Viren, M. (2001). The Okun Curve is Non-linear. Economics Letters, 70 (2), 253-257.
  • Vlasenko, P. (2011). Jobless Rates Differ During Recessions. American Institute for Economic Research, 78 (8).
  • Weber, C. (1995). Cyclical Output, Cyclical Unemployment, and Okun’s Coefficient: A New Approach. Journal of Applied Econometrics, 10 (4), 433-445.
  • Yazgan, M.E. ve Yılmazkuday, H. (2009). Okun’s Convergence within the US. Letters in Spatial and Resource Sciences, 2(2-3), 109.

Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz

Yıl 2021, Cilt: 22 Sayı: 1, 101 - 113, 20.06.2021
https://doi.org/10.17494/ogusbd.952765

Öz

Okun Yasası (1962), işsizlik ile büyüme arasındaki ödünleme ilişkisini ortaya koymaktadır. Bu çalışmada Okun katsayısının zaman-değişen yapısını irdelemek üzere farklı ve avantajlı bir ampirik metodoloji, çok değişkenli otoregresif koşullu değişen varyans-dinamik koşullu korelasyon (DCC-GARCH) modeli, önerilmektedir. Bu amaçla çalışmanın ilk aşamasında, örneklemdeki gelişmiş ve gelişmekte olan 45 ülkenin her biri için 1990:1-2017:4 yıllarına ait çeyrek dönemlik büyüme ve işsizlik serilerine DCC-GARCH(1,1) modeli uygulanmıştır. Çalışmanın ikinci aşamasında ise Okun katsayısını etkileyen faktörler, parametre heterojenliğine izin veren ve yatay kesit bağımlılığını dikkate alan ikinci nesil heterojen panel veri modelleri ile incelenmiştir. Bu amaçla ortak korelasyonlu etkiler ortalama grup (CCEMG) modeli 1990-2017 yılları arası 43 ülkeden alınan panel veri ile tahmin edilmiş ve verimlilik şoklarının zaman-değişen Okun katsayısını açıklamada anlamlı rolü olduğu görülmüştür.

Kaynakça

  • Balakrishnan, R., Das, M. ve Kannan, P. (2010). Unemployment Dynamics During Recessions and Recoveries: Okun’s Law and Beyond. World Economic Outlook (Chapter 3), IMF Survey Articles.
  • Ball, L.M., Leigh, D. ve Loungani, P. (2013). Okun’s Law: Fit at Fifty?. NBER Working Paper, No. 18668.
  • Beaton, K. (2010). Time Variation in Okun’s Law: A Canada and U.S. Comparison. Bank of Canada Working Paper, 2010-7.
  • Blackley, P.R. (1991). The Measurement and Determination of Okun’s Law: Evidence from State Economies. Journal of Macroeconomics, 13(4), 641-656.
  • Brooks R.D., Faff R.W. ve McKenzie M. (2002). Time Varying Country Risk: An Assessment of Alternative Modelling Techniques. The European Journal of Finance, 8 (3), 249-274.
  • Crespo Cuaresma, J. (2003). Revisiting Okun’s Law: A Piecewise-Linear Approach. Oxford Bulletin of Economics and Statistics, 65 (4), 439-451.
  • Devlet Planlama Teşkilatı. (2007). 9.Kalkınma Planı (2007-2013) İşgücü Piyasası Özel İhtisas Komisyonu Raporu (Rapor No: DPT: 2709-ÖİK:662). Ankara: Devlet Planlama Teşkilatı.
  • Engle, R. (2002). Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models. Journal of Business and Economic Statistics, 20 (3), 339-350.
  • Guisinger A. Y., Hernandez-Murillo R., Owyang M.T. ve Sinclair T. M. (2017). A State-Level Analysis of Okun's Law. Federal Reserve Bank of St. Louis Research Division Working Paper, 2015-029B.
  • Huang, H.C. ve Chang, Y.K. (2005). Investigating Okun’s Law by the Structural Break with Threshold Approach: evidence from Canada. The Manchester School, 73 (5), 599-611.
  • Huang, H.C. ve Lin, S.C. (2006). A Flexible Nonlinear Inference to Okun’s Relationship. Applied Economics Letters, 13(5), 325-331.
  • Huang, H.C. ve Lin, S.C. (2008). Smooth-Time-Varying Okun’s Coefficients. Economic Modelling, 25 (2), 363-375.
  • Holmes, M.J. ve Silverstone, B. (2006). Okun’s Law, Asymmetries and Jobless Recoveries in The United States: A Markov-Switching Approach. Economics Letters, 92 (2), 293-299.
  • ILO. (2005). World Employment Report 2005. Geneva- Switzerland: ILO.
  • Knotek, E.S. (2007). How Useful is Okun’s Law?. Federal Reserve Bank of Kansas City Economic Review, 92 (Fourth Quarter), 73-103.
  • Lee, J. (2000). The Robustness of Okun’s Law: Evidence From OECD Countries. Journal of Macroeconomics, 22 (2), 331-356.
  • Malley, J. ve Molana, H. (2008). Output, Unemployment and Okun’s Law: Some Evidence From the G7. Economic Letters, 101 (2), 113-115.
  • Marshall A., Maulana T. ve Tang L. (2009). The Estimation and Determinants of Emerging Market Country Risk and The Dynamic Conditional Correlation GARCH Model. International Review of Financial Analysis, 18 (5), 250-259.
  • McKinsey Global Institute. (Haziran 2011). An Economy That Works: Job Creation and America’s Future. San Francisco, California: McKinsey Global Institute.
  • Moosa, I.A. (1997). A Cross-Country Comparison of Okun’s Coefficient. Journal of Comparative Economics, 24 (3), 335-356.
  • Nickell, S. (1997). Unemployment and Labor Market Rigidities: Europe Versus North America. Journal of Economic Perspectives, 11(3), 55-74.
  • Okun, A.M. (1962). Potential GNP: Its Measurement And Significance. In: Proceedings of the Business and Economic Statistics Section, American Statistical Association, 98-103.
  • Österholm, P. (2016). Time Variation in Okun’s Law in Sweden. Applied Economics Letters, 23 (6), 436-439.
  • Özkan, İ. ve Erden L. (2015). Time-Varying Nature and Macroeconomic Determinants of Exchange Rate Pass-Through. International Review of Economics and Finance, 38, 56-66.
  • Perman, R. ve Tavera, C. (2005). A Cross-Country Analysis of The Okun’s Law Coefficient Convergence in Europe. Applied Economics, 37(21), 2501-2513.
  • Pesaran, M.H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. Cambridge Working Papers in Economics 0435.
  • Pesaran, M.H. (2006). Estimation and Inference in Large Heterogenous Panels with a Multifactor Error Structure. Econometrica, 74 (4), 967-1012.
  • Pesaran, M.H. (2007). A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence. Journal of Applied Econometrics, 22(2), 265-312.
  • Pesaran, M.H. ve Yamagata, T. (2008). Testing Slope Homogeneity in The Large Panels. Journal of Econometrics, 142 (1), 50-93.
  • Silvapulle, P., Moosa, I.A. ve Silvapulle, M.J. (2004). Asymmetry in Okun’s Law. Canadian Journal of Economics, 37(2), 353-374.
  • Silvennoinen, A. ve Terasvirta, T. (2008). Multivariate GARCH Models. SSE/EFI Working Paper Series in Economics and Finance, No.669. Erişim: 13 Mart 2017, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1148139.
  • Sögner, L. (2001). Okun’s Law: Does the Austrian Unemployment-GDP Relationship Exhibit Structural Breaks?. Empirical Economics, 26 (3), 553-564.
  • Sögner, L. ve Stiassny, A. (2002). An Analysis on The Structural Stability of Okun’s Law-A Cross-Country Study. Applied Economics, 34 (14), 1775-1787.
  • Tatoğlu, Y.F. (2017). Panel Zaman Serileri Analizi. İstanbul: Beta Yayınları.
  • Valadkhani, A. ve Smyth, R. (2015). Switching and Asymmetric Behaviour of the Okun Coefficient in the US: Evidence for the 1948-2015 Period. Economic Modelling, 50, 281-290.
  • Villaverde, J. ve Maza, A. (2009). The Robustness of Okun’s Law in Spain, 1980-2004: Regional Evidence. Journal of Policy Modeling, 31(2), 289-297.
  • Viren, M. (2001). The Okun Curve is Non-linear. Economics Letters, 70 (2), 253-257.
  • Vlasenko, P. (2011). Jobless Rates Differ During Recessions. American Institute for Economic Research, 78 (8).
  • Weber, C. (1995). Cyclical Output, Cyclical Unemployment, and Okun’s Coefficient: A New Approach. Journal of Applied Econometrics, 10 (4), 433-445.
  • Yazgan, M.E. ve Yılmazkuday, H. (2009). Okun’s Convergence within the US. Letters in Spatial and Resource Sciences, 2(2-3), 109.
Toplam 40 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Bilge Pekçağlayan 0000-0002-9896-2851

Lütfi Erden 0000-0002-9365-6599

Yayımlanma Tarihi 20 Haziran 2021
Gönderilme Tarihi 23 Kasım 2020
Yayımlandığı Sayı Yıl 2021 Cilt: 22 Sayı: 1

Kaynak Göster

APA Pekçağlayan, B., & Erden, L. (2021). Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, 22(1), 101-113. https://doi.org/10.17494/ogusbd.952765
AMA Pekçağlayan B, Erden L. Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi. Haziran 2021;22(1):101-113. doi:10.17494/ogusbd.952765
Chicago Pekçağlayan, Bilge, ve Lütfi Erden. “Zaman-Değişen Okun Katsayısı Ve Belirleyicileri: Ampirik Bir Analiz”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi 22, sy. 1 (Haziran 2021): 101-13. https://doi.org/10.17494/ogusbd.952765.
EndNote Pekçağlayan B, Erden L (01 Haziran 2021) Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi 22 1 101–113.
IEEE B. Pekçağlayan ve L. Erden, “Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz”, Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, c. 22, sy. 1, ss. 101–113, 2021, doi: 10.17494/ogusbd.952765.
ISNAD Pekçağlayan, Bilge - Erden, Lütfi. “Zaman-Değişen Okun Katsayısı Ve Belirleyicileri: Ampirik Bir Analiz”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi 22/1 (Haziran 2021), 101-113. https://doi.org/10.17494/ogusbd.952765.
JAMA Pekçağlayan B, Erden L. Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi. 2021;22:101–113.
MLA Pekçağlayan, Bilge ve Lütfi Erden. “Zaman-Değişen Okun Katsayısı Ve Belirleyicileri: Ampirik Bir Analiz”. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi, c. 22, sy. 1, 2021, ss. 101-13, doi:10.17494/ogusbd.952765.
Vancouver Pekçağlayan B, Erden L. Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz. Eskişehir Osmangazi Üniversitesi Sosyal Bilimler Dergisi. 2021;22(1):101-13.