欧元区失业率的滞后和随机收敛:来自光滑断裂和不对称动态的面板单位根的证据

IF 7.6 1区 经济学 Q1 ECONOMICS
Ayşegül Çorakcı, Tolga Omay, M. Hasanov
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引用次数: 4

摘要

研究背景:研究失业率的动态特征对经济理论和宏观经济政策都具有重要意义。尽管有大量的研究,关于失业率随机行为的经验证据仍然存在争议。人们普遍认为,包括失业率在内的大多数经济变量都具有结构性断裂和非线性的特征。然而,我们做了一些工作来同时检查这两个特性。文章的目的:本文分析了欧元区成员国失业率的平稳性。此外,我们的目标是检验成员国之间失业率的随机收敛性。我们的经验程序明确地允许同时渐进中断和非线性序列。方法:本文为面板数据开发了一个新的单位根检验程序,允许逐渐的结构断裂和不对称的平衡调整。我们进行蒙特卡罗模拟来检查所提出的测试程序的小样本性能,并将其与现有的测试程序进行比较。我们应用新提出的检验来检验欧元区成员国失业率的随机特性,以及相对于-?——相对于欧元区失业率。发现和附加价值:我们发现新开发的测试程序在高度非线性设置中优于现有的测试。此外,与现有检验相比,这些检验在更多情况下拒绝单位根的零假设。只有在允许数据生成过程中的结构性中断后,我们才能发现序列的平稳性。考虑到非线性和非对称调整以及逐渐断裂,在更多情况下提供了平稳性的证据。此外,我们的研究结果表明,相对失业率序列是平稳的,这为失业率的随机收敛提供了证据。总的来说,我们的结果表明,欧元区采取协调一致的经济政策来应对失业的空间有限。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Hysteresis and stochastic convergence in Eurozone unemployment rates: evidence from panel unit roots with smooth breaks and asymmetric dynamics
Research background: Studying the dynamic characteristics of unemployment rate is crucial for both economic theory and macroeconomic policies. Despite numerous research, the empirical evidence about stochastic behaviour of the unemployment rate remains disputable. It has been widely agreed that most economic variables, including unemployment rates, are characterized by both structural breaks and nonlinearities. However, a little work is done to examine both features simultaneously. Purpose of the article: In this paper, we analyse the stationarity properties of unemployment rates of Euro area member countries. Also, we aim to test stochastic convergence of unemployment rates among member countries. Our empirical procedures explicitly allow for simultaneous gradual breaks and nonlinearities in the series. Methods: This paper develops a new unit root test procedure for panel data, allowing for both gradual structural breaks and asymmetric adjustment towards equilibrium. We carry out Monte Carlo simulations to examine small sample performance of the proposed test procedure and compare it to the existing test procedures. We apply the newly proposed test to examine the stochastic properties of the unemployment rates of Euro-member countries as well as relative unemployment rates vis-?-vis the Eurozone unemployment rate. Findings & value added: We find that the newly developed test procedure outperforms existing tests in highly nonlinear settings. Also, these tests reject the null hypothesis of unit root in more cases when compared to the existing tests. We find stationarity in the series only after allowing for structural breaks in the data generating process. Allowing for nonlinear and asymmetric adjustment in addition to gradual breaks provides evidence of stationarity in more cases. Furthermore, our results suggest that relative unemployment rate series are stationary, providing evidence in favour of stochastic convergence in unemployment rates. Overall, our results imply a limited room for coordinated economic policy to fight unemployment in the Eurozone.
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来源期刊
CiteScore
13.70
自引率
5.90%
发文量
26
审稿时长
24 weeks
期刊介绍: The Oeconomia Copernicana is an academic quarterly journal aimed at academicians, economic policymakers, and students studying finance, accounting, management, and economics. It publishes academic articles on contemporary issues in economics, finance, banking, accounting, and management from various research perspectives. The journal's mission is to publish advanced theoretical and empirical research that contributes to the development of these disciplines and has practical relevance. The journal encourages the use of various research methods, including falsification of conventional understanding, theory building through inductive or qualitative research, first empirical testing of theories, meta-analysis with theoretical implications, constructive replication, and a combination of qualitative, quantitative, field, laboratory, and meta-analytic approaches. While the journal prioritizes comprehensive manuscripts that include methodological-based theoretical and empirical research with implications for policymaking, it also welcomes submissions focused solely on theory or methodology.
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