Ekonometride Güncel Yöntemler ve Uygulamalar

EnglishTürkçe

BÖLÜM


DOI :10.26650/B/SS10.2021.013.01   IUP :10.26650/B/SS10.2021.013.01    Tam Metin (PDF)

1923’den Günümüze İşsizlik Histerisinin Geçerliliğinin Analizi

Ebru Çağlayan Akay, Hoşeng Bülbül

İşsizlik, ülkelerin ekonomik durumu hakkında bilgi veren önemli göstergelerden biridir. Histeri etkisine göre ekonomik şoklar işsizlik serisi üzerinde kalıcı etkiler bırakmakta ve işsizlik serisi birim kök süreci izlemektedir. Türkiye işsizlik sorununun ciddi olduğu ülkelerden biridir. Bu nedenle işsizlik histerisi teorisinin geçerli olup olmadığı araştırmacılar tarafından oldukça ilgi çeken bir konu olmuştur. Söz konusu bu ilgi ekonometri literatüründe işsizlik oranlarının çeşitli birim kök testleri ile incelenmesine neden olmuştur. Bu çalışmanın amacı, 1923 yılından günümüze Türkiye için işsizlik histerisi hipotezinin geçerliliğini incelemektir. Bu amaç için, Güriş (2018) tarafından önerilen ve hem doğrusal olmamayı hem de yapısal kırılmayı birlikte ele alan Fourier Kruse Testi kullanılmıştır. Çalışmadan elde edilen bulgular, Türkiye’de Cumhuriyet dönemi itibariyle işsizlik histerisi hipotezinin geçerli olduğunu ve yaşanan krizlerin, şokların ve kırılmaların işsizlik üzerinde kalıcı etkiler meydana getirdiğini göstermektedir. Bu yapısal değişimlerin kalıcı bir yapıya sahip olması nedeniyle emek piyasası için uygulanacak olan politikalarla işsizlik üzerinde kalıcı etkiler söz konusu olacaktır.


Anahtar Kelimeler: İşsizlik Histerisi, Birim Kök, Fourier Kruse Testi
JEL Sınıflandırması : C12 , C22 , E24
DOI :10.26650/B/SS10.2021.013.01   IUP :10.26650/B/SS10.2021.013.01    Tam Metin (PDF)

An Analysis of the Validity of Unemployment Hysteresis from 1923 to the Present

Ebru Çağlayan Akay, Hoşeng Bülbül

Unemployment is one of the most important indicators of a country’s economic condition. According to the hysteria effect, economic shocks can permanently affect a country’s unemployment series. In this case, the unemployment series follows the unit root process. The validity of the theory of unemployment hysteresis is a subject of considerable debate among researchers. This interest has led researchers to examine unemployment rates using unit root tests with differing properties. According to Phelps’ (1967) preliminary natural unemployment rate hypothesis, the unemployment rate tends to return to a previous balance. The natural unemployment rate hypothesis was revised in lieu of the continuously high unemployment rates experienced by European countries in the mid-1970s. For the first time, Tobin (1972) stated that real changes in unemployment rates had a damaging and lasting effect on the natural unemployment rate hypothesis. Blanchard and Summers (1986) developed the unemployment hysteresis hypothesis to counter the natural unemployment rate hypothesis. Unemployment hysteria is defined as the high dependence of current unemployment on previous unemployment. Moreover, unemployment hysteria can be defined as the permanent effects of temporary shocks on the unemployment rate. If the current unemployment rate is dependent on past values with coefficients close to 1, it is considered to indicate a hysteria effect. This means that the unemployment rate series has a unit root. Thus, the term hysteria can also be termed as unit root hysteresis. If the unemployment hysteria hypothesis is valid, a shock in the economy will exert a lasting impact on unemployment rates, and unemployment rates will not return to the previous level. In this case, the unemployment rate series follows a nonstationary process. Another approach, known as the structuralist approach, was developed by Phelps in 1994. According to this approach, the natural unemployment rate is affected by structural factors. Unit root tests are widely used to test these theories.

Unemployment arose in Turkey in 1970 and remains the nation’s most significant challenge. Since the end of 2010, financial stability has been one of the fundamental objectives in Turkey. Related policies aim to achieve macro-financial balance without compromising price stability; however, the failure of the Central Bank to reach the targeted inflation level leads to increased unemployment. Despite economic growth in Turkey in recent years, the unemployment rate has increasingly persisted, reaching double digits at present.

This study examines the validity of the unemployment hysteria theory in the case of Turkey, using data for the period 1923–2019 and unit root tests. Several studies have investigated unemployment hysteria in Turkey applying different periods and unit root tests.  

There appears to be no consensus on the validity of unemployment hysteria upon examining the study findings. It is apparent that unit root tests used in these studies do not simultaneously consider both nonlinearity and structural breaks. Failure to select a unit root test that is appropriate to the structure of the series may result in inaccurate estimation results. In this study, unlike previous investigations, the validity of unemployment hysteresis was examined considering both nonlinearity and structural breaks from 1923 to the present using the Fourier Kruse test proposed by Güriş (2018). This test examines both nonlinearity and structural breaks simultaneously. The notable feature of this test as opposed to KSS (2003) and Kruse (2011) tests is its higher test power.

The result of the Fourier Kruse test revealed that the unemployment hysteria hypothesis is valid for Turkey. This finding indicates that Turkey’s unemployment rate is permanently affected by shocks. Therefore, enduring and deep-rooted solutions are required to reduce the unemployment rate. As a result of shocks in the economy, unemployment rates will not be able to return to previous levels and will tend to remain at a newly established equilibrium level. The negative effects of these structural changes must be reduced, and to do so, new structural reforms to increase the efficiency of the labor market are necessary. Such policies could also have lasting effects on unemployment rates.


Anahtar Kelimeler: Unemployment Hysteresis, Unit Root, Fourier Kruse Test
JEL Sınıflandırması : C12 , C22 , E24

Referanslar

  • Ağazade, S. (2016). Türkiye için İşsizlik Histerisine Karşın Doğal Oran Hipotezinin Doğrusal Dışı Yöntemlerle Sınanması. SGD-Sosyal Güvenlik Dergisi, 6(2), 28-46. google scholar
  • Barışık, S. ve Çevik, E. İ. (2008). “Yapısal kırılma testleri ile Türkiye’de işsizlik histerisinin analizi: 1923-2006 dönemi”. KMU İİBF Dergisi, 10(14), 1-26. google scholar
  • Barro, R. J. (1988). The Persistence of Unemployment. The American Economic Review, 78(2), 32-37. google scholar
  • Bayat, T., Kayhan, S., & Koçyigit, A. (2013). Türkiye’de Issizligin Asimetrik Davranisinin Rejim Degisim Modeliyle Incelenmesi/Asymmetric Behavior of Unemployment Analysis with Regime Switching Models in Turkey. Business and Economics Research Journal, 4(2), 79. google scholar
  • Bayrakdar, S. (2015). Türkiye için İşsizlik Histerisi ya da Doğal İşsizlik Oranı Hipotezinin Geçerliliğinin Sınanması. İktisat Politikası Araştırmaları Dergisi, 2(2), 45-61. google scholar
  • 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. google scholar
  • Berk, E. ve Çağlar, A. E. (2016). Türkiye’de İşsizlik Histerisi: Yapısal Kırılmalı Birim Kök Analizi. IMUCO 2016, 830. google scholar
  • Bildirici, M., Ersin, Ö. Ö., Türkmen, C., & Yalçınkaya, Y. (2012). The Persistence Effect of Unemployment in Turkey: An Analysis of the 1980-2010 Period. Journal of Business Economics and Finance, 1(3), 22-32. google scholar
  • Blanchard, O., Summers, L., “Hysteresis and the European Unemployment Problem”., NBER Macroeconomics Annual, Der: S. Fischer, Cambridge: MIT Pres, 1986, s.15-78. google scholar
  • Brock, W., Dechert, W., Scheinkman, J. (1987). A Test for Independence Based on the Correlation Dimension. University of Wisconsin at Madison, Department of Economics Working Paper. google scholar
  • Brock, W. A., Hsieh, D. A., & LeBaron, B. D. (1991). Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. MIT Press. google scholar
  • Brooks, C. (2008). Introductory Econometrics for Finance. Cambrige, Cambrige University. google scholar
  • Bulutay, T. (1995) Employment, Unemployment and Wages in Turkey, International Labour Office, Ankara. google scholar
  • Case, K. E., Fair, R. C., Oster, S. M., Çeviren: Deliktaş, E., Karadağ, M., & Güçlü, M. (2016). Ekonominin ilkeleri. Palme Yayıncılık. google scholar
  • Christopoulos, D. K., & Leon-Ledesma, M. A. (2010). Smooth Breaks and Non-linear Mean Reversion: Post-Bretton Woods real exchange rates. Journal of International Money and Finance, 29(6), 1076-1093. DOI: 10.1016/j.jimonfin.2010.02.003 google scholar
  • Çınar, M., Akay, H. K. ve Yılmaz F. (2014). A Sectoral Analysis of Hysteresis in Unemployment: Evidence from Turkey. Bilig Türk Dünyası Sosyal Bilimler Dergisi, 69, 29-52. google scholar
  • Dickey, D. A., & Fuller W.A. (1979). Distribution of the Estimators for Autoregressive Time Seres With a Unit Root. Journal of the American Statistical Association, 74, 366, 427-431. google scholar
  • Enders, W., & Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford bulletin ofEconomics and Statistics, 74(4), 574-599. google scholar
  • Friedman, M. (1968). The Role of Monetary Policy. American Economic Review, 58, 1-17. google scholar
  • Güriş, B., Tiftikçigil, B. Y., & Tıraşoğlu, M. (2017). Testing for Unemployment Hysteresis in Turkey: Evidence From Nonlinear Unit Root Tests. Quality & Quantity, 51(1), 35-46. google scholar
  • Güriş, B. (2018). A New Nonlinear Unit Root Test with Fourier Function. Communications in Statistics-Simulation and Computation, 1-7. google scholar
  • Harvey, D. I., & Leybourne, S. J. (2007). Testing for Time Series Linearity. Econometrics Journal, 10, 149-165. google scholar
  • Harvey, D. I., Leybourne, S. J., & Xiao, B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3). google scholar
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a Unit Root in the Nonlinear STAR Framework. Journal of econometrics, 112(2), 359-379. DOI: 10.1016/S0304-4076(02)00202-6. google scholar
  • Kruse, R. (2011). A New Unit Root Test Against ESTAR Based on a Class of Modified Statistics. Statistical Papers, 52(1), 71-85. DOI 10.1007/s00362-009-0204-1 google scholar
  • Kuan, C. M. (2008). Lecture on Time Series Diagnostic Tests. Institute of Economics Academia. google scholar
  • Kula, F., & Aslan, A. (2014). Unemployment Hysteresis in Turkey: Does Education Matter? International Journal ofEconomics and Financial Issues, 4(1), 35-39. google scholar
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing The Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That The Economic Time Series Have a Unit Root? Journal ofEconometrics, 54, 159-178. google scholar
  • Lee, J., & Strazicizh, M. C. (2003) Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. The Review ofEconomics and Statistics, 85(4):1082-1089. google scholar
  • Lee, J., & Strazicich, M. C. (2004). Minimum LM Unit Root Test with One Structural Break. Appalachian State University Working Papers 04-17:1-15. google scholar
  • Ozpence, A. I., & Ergen, E. (2017). Analysis of Unemployment Hysteresis in Turkey: Structural Break Unit Root Test. Journal ofEconomics Finance and Accounting, 4(4), 368-376. google scholar
  • Özkan, Y., ve Altınsoy, A. (2015). İşsizlik ve İstihdamda Histeri Etkisi (Türkiye, 1988-2014). Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi Siyaset, 16. Çalışma Ekonomisi ve Endüstri İlişkileri Kongresi Özel Sayısı, 123-130. google scholar
  • Papell, D. H., Murray, C. J., & Ghiblawi, H. (2000). The Structure of Unemployment. Review of Economics and Statistics, 82(2), 309-315. google scholar
  • Pazarlıoğlu, M. V. ve Çevik, E. İ. (2007). Ratchet Model: 1939-2005 Dönemi Türkiye Uygulaması. Trakya Üniversitesi Sosyal Bilimler Dergisi, 9(1), 17-34. google scholar
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57, 1361-1401 google scholar
  • Phelps, E. S. (1967). Phillips Curves, Expectations of İnflation And Optimal Unemployment Over Time. Economica, 254-281. google scholar
  • Saraç, T. B. (2014). İşsizlikte Histeri Etkisi: Türkiye Örneği. Ege Akademik Bakış, 14(3), 335-344. google scholar
  • TCMB. (2010). Yıllık Rapor. http://www.tcmb.gov.tr (10 Mayıs 2019) google scholar
  • Tekin, İ. (2018). Türkiye’de İşsizlik Histerisi: Fourier Fonksiyonlu Durağanlık Sınamaları. Dokuz Eylül Üniversitesi İktisadi İdari Bilimler Fakültesi Dergisi, 33(1), 97-127. google scholar
  • Tobin J. (1972). Inflation and Unemployment, The American Economic Review, 62, 1-18. google scholar
  • Yavuzaslan, K., Damar, Ö., Sönmez, B., Özdaş, B., Uyar, N. ve Akılotu, E. (2017). Türkiye’de Genç İşsizliğinin, İşsizlik Histerisi Hipotezi Çerçevesinde Yapısal Kırılmalar Testi ile Analizi. Aydın İktisat Fakültesi Dergisi, 2(2), 21-32. google scholar
  • Yılancı, V. (2009). Yapısal Kırılmalar Altında Türkiye İçin İşsizlik Histerisinin Sınanması. Doğuş Üniversitesi Dergisi, 10(2), 324-335. google scholar
  • Yıldırım, S. (2011). Türkiye’de Histeri Hipotezinin Geçerliliğinin Çoklu Yapısal Kırılmalı CKP Birim Kök Testiyle Sınanması. Akdeniz Üniversitesi İİBF Dergisi, 11(22), 28-47. google scholar
  • Zivot, E., & Andrews, D. W. K. 1992. Further Evidence on the Great Crash, the Oil Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270. google scholar


PAYLAŞ




İstanbul Üniversitesi Yayınları, uluslararası yayıncılık standartları ve etiğine uygun olarak, yüksek kalitede bilimsel dergi ve kitapların yayınlanmasıyla giderek artan bilimsel bilginin yayılmasına katkıda bulunmayı amaçlamaktadır. İstanbul Üniversitesi Yayınları açık erişimli, ticari olmayan, bilimsel yayıncılığı takip etmektedir.