Testing Unemployment Hysteresis with Multi-Factor Panel Unit Root: Evidence from OECD Countries

IF 0.5 Q3 AREA STUDIES
G. Konat, M. F. Coşkun
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Abstract

Hysteresis is a dominant feature of unemployment in numerous countries. According to the hysteresis hypothesis, it is a well-known fact that high unemployment may persist and remain an economic threat in the long run if policy measures are not taken. In this study, it is tested whether the unemployment rates for 10 selected countries of the Organisation for Economic Co-operation and Development (OECD) (Belgium, Canada, Czech Republic, Estonia, France, Japan, Netherlands, Spain, Britain and the USA) contain unit root or not, in other words, whether the hysteresis effect is valid for these countries. For this purpose, this study utilises the concept of the multi-factor panel unit root test proposed by Pesaran, Smith and Yamagata. This method measures cross-section dependence through factors. The test analyses whether the unit root is valid or not, using information about a sufficient number of additional explanatory variables. The characteristic of these additional variables is that they must share a common factor with the variable whose stationarity is tested. It is accepted that this common factor causes cross-sectional dependence. We have taken tax wedge, trade union density and minimum wage as factors that cause cross-sectional dependency and affect unemployment hysteresis. In this test developed by the authors, in the case of a multi-factor error structure, the test procedure is completed by using the information contained in 3 additional variables. The study explores not only the validity of unemployment hysteresis but also the factors that affect the rigidity of the unemployment rate. However, the research was unable to encompass the entire OECD countries and all times because of the lack of data. The results showed that the hysteresis is valid for 10 selected OECD countries.
用多因素面板单位根检验失业滞后性:来自经合组织国家的证据
滞后性是许多国家失业的一个主要特征。根据滞后假说,众所周知的事实是,如果不采取政策措施,高失业率可能会持续存在,并在长期内仍然是一个经济威胁。本研究检验了经济合作与发展组织(OECD)选定的10个国家(比利时、加拿大、捷克、爱沙尼亚、法国、日本、荷兰、西班牙、英国和美国)的失业率是否包含单位根,即滞后效应对这些国家是否有效。为此,本研究采用了Pesaran、Smith和Yamagata提出的多因素面板单位根检验的概念。该方法通过因子测量截面依赖性。该检验使用关于足够数量的附加解释变量的信息来分析单位根是否有效。这些附加变量的特点是它们必须与被检验平稳性的变量有一个共同的因子。人们普遍认为,这一共同因素导致了横截面依赖性。我们将税收楔子、工会密度和最低工资作为导致横截面依赖和影响失业滞后的因素。在作者开发的这个测试中,在多因素误差结构的情况下,测试过程通过使用包含在3个附加变量中的信息来完成。本研究不仅探讨了失业滞后的有效性,而且探讨了影响失业率刚性的因素。然而,由于缺乏数据,这项研究无法涵盖整个经合组织国家和所有时期。结果表明,滞后性对10个选定的经合组织国家是有效的。
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来源期刊
CiteScore
1.80
自引率
20.00%
发文量
23
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