شناسایی اثر تأخیری در نرخ بیکاری با تأکید بر نسل دوم آزمون‌های ریشه واحد پانل و رویکرد PANIC

نوع مقاله : مقاله پژوهشی

نویسندگان

1 کارشناس ارشد علوم اقتصادی گرایش محیط‌زیست

2 دانشیار گروه علوم اقتصادی دانشگاه علامه طباطبایی

چکیده

نحوه‌­ی عکس‌­العمل بازار کار به شوک­‌های وارده، بیانگر برقراری فرضیه‌­ی نرخ طبیعی و یا در مقابل آن فرضیه‌ی اثر تأخیری است. در این مطالعه با استفاده از نسل‌های اول و دوم آزمون ریشه واحد پانل با تأکید بر نسل دوم، فرضیه‌ی وجود اثر تأخیری در برابر نرخ طبیعی در بازه زمانی بهار 1384 تا پاییز 1394 مورد بررسی قرار گرفته است. استفاده از رویکرد به‌کار رفته در این مطالعه از دو جهت شبهات احتمالی در نتایج پیشین را کاهش می­‌دهد. اولاً با افزایش حجم نمونه با استفاده از داده­ های پانل به‌جای داده‌­های سری زمانی و ثانیاً استفاده از روشی جدید که به‌دلیل دقت بالا در نتایج، کاربرد فراوانی در جهت شناسایی ریشه واحد دارد. نتایج آزمون­‌های نسل اول بر مانا بودن نرخ بیکاری و رد فرضیه‌ی اثر تأخیری دلالت دارد درحالی‌که آزمون‌های نسل دوم، وجود 4 روند تصادفی مشترک در متغیر مورد بررسی را نشان می‌­دهد و در نتیجه فرضیه­‌ی وجود اثر تأخیری در نرخ بیکاری اقتصاد ایران پذیرفته می‌­شود. از آن‌جایی‌که با وجود وابستگی مقطعی در پانل، نسل دوم آزمون‌های ریشه واحد کارایی بالاتری دارند، وجود اثر تأخیری در نرخ بیکاری تأیید می‌­شود. شرایط موجود بازار کار نیز مؤید اثر فوق است. با اثبات وجود اثر تأخیری اعمال سیاست‌­های بلندمدت به‌جای راه‌حل­‌های کوتاه­ مدت برای ثبات بخشیدن به بازار کار پیشنهاد می‌­شود.

کلیدواژه‌ها

عنوان مقاله [English]

Identifying hysteresis effect in unemployment rate with emphasis on second generation panel unit root and PANIC method

نویسندگان [English]

  • reza akhbari 1
  • hasan taee 2
1 Allameh tabataba'i university
2 Allameh tabataba'i university
چکیده [English]

In the last decade, Iran is one of the numerous countries with persistent and high unemployment rate. Examining of unemployment trend in Iran shows that over the recent years, this variable has been constantly at a high level, without any tendency to converge to a certain amount. This issue justifies the necessity of examining the existence of hysteresis effect hypothesis in unemployment rate of Iranian economy. In fact, the term of hysteresis effect means dependency to the past. Therefore, hysteresis effect in unemployment rate implies the dependency between current and past unemployment rates. In this situation, all the shocks will have a permanent effect on the path of unemployment and the economy will never achieve long-term equilibrium because the equilibrium is changing constantly. Due to above, hysteresis effect hypothesis is counterpoint of natural rate of unemployment.
The reaction of the labor market to the shocks will be established the existence of natural rate of unemployment hypothesis (In the absence of unit root) or the alternative (if there is a unit root process), hysteresis effect hypothesis. When natural rate of unemployment hypothesis is established, after a direct (or indirect) shock to the labor market, unemployment rate will converge to the long-term value which is calld natural rate of unemployment without any kind of intervention while if there is hysteresis effect, the convergenc of unemployment rate to the long-term value after a shock will not take place. In this study the existing of hysteresis effect in unemployment rate of Iranian economy is investigated with using first and second generations of panel unit root tests with emphasis on second one in period 2005Q1-2015Q3.
In addition to the evolution of unit root tests in terms of the heterogeneity problem which ocurres in time series estimations, a second evolution has also heppend recently that takes the existence of cross-sectional dependence into account. One of the methods which categorize in the second generation of unit root tests is PANIC approach. We employ the PANIC procedurs of Bai and Ng (2004), which allows us to decompose the observed unemployment rate series into common factor and idiosyncratic components. This enables us to identify the source behind the hysteretic behavior which may be found. Using this method decreases the possible doubts on the results of the previous study in two ways. First, with increasing the sample size due to using of panel data instead of time series data. Second, with applying the new method which is used frequently due to more accurate output.
While the results of first generation tests show that the unemployment rate is stationary, the second generation refers to the non-stationary process and prove the existence of hysteresis effect in unemployment rate. Due to the higher efficiency of second generation when the cross-section dependency in the panel is identified, we rely on this method and then hysteresis effect hypothesis is accepted which is in accordance with the evidence of labor market. The existence of hysteresis effect suggests long-run policies rather than short-run solutions to stabilize the labor market. Furthermore, proving that there is a hysteresis effect in unemployment rate, it is suggested that the sources of this effect be analyzed in future studies. It should be noted that in this study four stochastic trend that led to nonstationarity and hysteresis effect were identified. Future studies can introduce these resources by studying precisely the methods for identifying the sources which generate hysteresis effect. 

کلیدواژه‌ها [English]

  • hysteresis effect
  • Panel Data
  • PANIC method

مراجع

اخباری، رضا و آماده، حمید (1394). «تحلیل رابطه هم انباشتگی میان نرخ بیکاری و رشد اقتصادی با رویکرد آزمون کرانه­ها: شواهدی از اقتصاد ایران». فصلنامه پژوهشنامه اقتصادی، 15(59): 125-160.
اندرس، والتر (1386). اقتصادسنجی سری­های زمانی با رویکرد کاربردی. مترجم: مهدی صادقی، سعید شوال پور، دانشگاه امام صادق، تهران، جلد اول، چاپ اول.
عیسی‌زاده، سعید و طبرسی، محبوبه (1393). «بررسی وجود پدیده اثر تأخیری در نرخ بیکاری اقتصاد ایران». فصلنامه راهبرد اقتصادی، 3(10): 113-136.
مؤمنی، فرشاد (1386). «اقتصاد سیاسی سیاست‌گذاری اشتغال در ایران». درس گفتارهای موسسه دین و اقتصاد.
Amable, B.; Henry J., Lordon, F. and Topol, R. (1995). "Hysteresis Revisited: A methodological Approach", in: Rross R. 1995. The Natural Rate of Unemployment: Reflections on 25 Years of the Hypothesis, Cambridge University Press, pp. 153-180.
Bai, J. and Ng, S. (2004). “A PANIC attack on unit roots and cointegration”, Econometrica, 72(4): 1127-1177
Bai, J. and Ng, S. (2002). “Determining the number of factors in approximate factor models”, Econometrica, 70(1): 191-221.
Bai, J. and Ng, S. (2010). “Panel unit root tests with cross-section dependence”, Econom Theory, 26(4): 1088-1114
Blanchard, O. J. and Summers, L. H. (1987). “Hysteresis in unemployment”, European economic review, 31: 288-295
Breitung, J. (1994). “Some simple tests of moving average hypothesis”. Journal of time series analysis, 15: 331-359
Breitung, J. (2000). “The local power of some unit root tests for panel data”, in B. Baltagi (ed), advances in econometrics, vol.15: nonstationarity panels, panel cointegration and dynamic panels, Amsterdam: JAI Press, pp. 161-178.
Breusch, T. S. and Pagan, A. R. (1980). “The lagrange multiplier test and its application to model specification in econometrics”, Review of economic estudies, 47(1): 239-253
Brunello, G. (1990). “Hysteresis and the Japanese unemployment problem: a preliminary investigation”, Oxford economic papers, 42: 483-500
Camarero, M. and Tamarit, C. (2004); “Hysteresis vs. natural rate of unemployment: new evidence for OECD countries”, Economics letters, 84: 413-417
Chang, Y. (2002). “Nonlinear IV unit root tests in panels with cross-sectional dependency”, Journal of Econometrics, 110(2): 261-292.
Chang, Y. (2004). “Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency”, Journal of Econometrics, 120: 263-293.
Cheng, K. M.; Durmaz, N.; Kim, H. and Stern, M. L. (2012). “Hysteresis vs. natural rate of US unemployment”, Economic modeling, 29(2): 418-434.
Choi, I. (2001). “Unit root tests for panel data”, J Int Money Finance, 20(2): 249-272.
Choi, I. (2002). “Combination unit root tests for cross-sectionally correlated panels”, Mimeo, Hong Kong university of science and technology.
Choi, I. (1999). “Testing the random walk hypothesis for real exchange rates”, Journal of Applied Econometrics, 14:  293-308
Christopoulos, D. K. and Tsionas, E. G. (2004). “Financial development and economic growth: evidence from panel unit root and panel cointegration tests”, Journal of development economics, 73: 55-74.
Friedman, M. (1968). “The role of monetary policy”, American economic review, 58: 1-17.
Garcia-Cintado, A.; Romero-Avila, D. and Usabiaga, C. (2014). “Spanish reginal unemployment disentangling the sources of hysteresis”, Springerbriefs in economics, http://www.springer.com/series/8876
Garcia-Cintado, A.; Romero–Avila, D. and Usabiaga, C. (2015). “A PANIC analysis on reginal and sectoral inflation: the Spanish case”, Applied economics, DOI: 10.1080/00036846.2015.1034838.
Garcia-Cintado, A.; Romero–Avila, D. and Usabiaga, C. (2016). “The economic integration of spain: a change in the inflation pattern”, Latin American economic review, 25 (1). DOI: 10.1007/s40503-016-0031-41
Gil-Alana, L. A. (2001). “The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models”, Applied economics, 33(10): 1263-1269.
Grant, A. P. (2002). “Time-Varying Estimates of the Natural Rate of Unemployment: A Revisitation of Okun’s Law”, The Quarterly Review of Economics and Finance, 42(1): 95-113.
Hadri, K. (2000). “Testing for stationarity in heterogeneous panel data”, Econometrics Journal, 3(2): 148-161.
Harris, R. D. F. and Tzavalis, E. (1999). “Inference for unit roots in dynamic panels where the time dimension is fixed”, Journal of econometrics, 91:201-226.
Hatanaka, M. (1996). “Time-series-based econometrics”, Oxford: oxford university press.
Hsiao, C. (1986). “Analysis of panel data. Econometric society monograph 11”. Cambridge university press: 128-153.
Hylleberg, S.; Engle, R. F., Granger, C. W. J. and Yoo, B. S. (1990). “Seasonal integration and cointegration”, Journal of Econometrics, 44: 215-238.
Im, K. S.; Pesaran, M. H. and Shin, Y. (2003). “Testing for unit roots in heterogeneous panels”, Journal of econometrics 115: 53-74.
Chen, K. M.; Durmaz, N., Kim, H. W. and Stern M. L. (2012). “Hysteresis vs. natural rate of US unemployment”, Economic modeling, 29(2): 428-434
Lavesson, N. (2012). “Is there hysteresis in unemployment rates?”, Lund university, Department of statistics, Bachelor thesis.
leon-ledesma, M. A. (2000). “Unemployment hysteresis in the US and the EU: a panel data approach”, Department of economics, Keynes college, university of kent at cantenbury.
Leon-ledesma, M. A. (2002). “Unemployment hysteresis in the US states and the EU: a panel approach”, Bulletin of economic research, 54: 95-103.
Levin, A.; Lin, C. F. and Chu, C. J. (2002). “Unit root tests in panel data: asymptotic finite-sample properties”, Journal of econometrics, 108: 1-24.
Levin, A. and Lin, C. F. (1993). “Unit root tests in panel data: asymptotic and finite-sample properties”, Unpublished manuscript, University of California, San Diego.
Levin, A. and Lin, C. F. (1992). "Unit root tests in panel data: asymptotic and finite sample properties", Manuscript, University of California, San Diego.
Maddala, G. S. and Wu, S. (1999). “A comparative study of unit root tests with panel data and a new simple test”, Oxford Bulletin of Economics and Statistics, 61(s1): 631-652.
Mitchell, W. F. (1993). “Testing for unit roots and persistence in OECD unemployment”, Applied economics, 25: 1489-14501.
Mohan, R.; Kemegue, F. and Sjuib, F. (2008). “Hysteresis in unemployment: panel unit roots tests using state level data”, Journal of business & economics research, 6(2): 53-60.
Moon, H. R. and Perron, B. (2004). “Testing for a unit root in panels with dynamic factors”, Journal of econometrics, 122(1): 81-126.
Moon, H. R. and Perron, B. (2007). “An empirical analysis of non-stationarity in a panel of interest rates with factors”, Journal of applied econometrics, 22(2): 383-400
Nelson, C. R. and Plosser, C. I. (1982). “Trends and random walks in macro-economic time series: some evidence and implications”, Journal of monetary economics, 10: 139-162.
O’Connell, P. (1998). “The Overvaluation of Purchasing Power Parity”, Journal of International Economics, 44: 1-19.
O’Shaughnessy, T. (2011). “Hysteresis in unemployment”, Oxford review of economic policy, 27(2): 312-337.
Perron, P. (1988). “Trends and random walks in macroeconomic time series: further evidence from a new approach”, Journal of economic dynamics and control, 12: 297-332.
Pesaran, H. M. (2003). “A simple panel unit root test in the presence of cross section dependence”, Mimeo, university of southern California.
Pesaran, M. H. and Smith, R. (1995). “Estimating long-run relationships from dynamic heterogeneous panels”, Journal of econometrics, 68: 79-113.
Phelps, E. (1967). “Phillips curves, expectations of inflation and optimal unemployment over time”, Economica, 34: 254-281.
Phillips, P. C. B. and Sul, D. (2003). “Dynamic panel estimation and homogeneity testing under cross section dependence”, Econometrics journal, 6(1): 217-259.
Quah, D. (1994). “Exploiting cross-section variations for unit root inference in dynamic data”, Economic letters, 44: 9-19.
Roed, K. (1996). “Unemployment hysteresis – macro evidence from 16 OECD countries”, Empirical economics, 21: 589-600.
Roed, K. (1997). “Hysteresis in unemployment”, Journal of economic surveys, 11(4):389-418.
Sen, A. (1997).“Inequality, unemployment and contemporary Europe”, STICERD - Development Economics Papers - From 2008 this series has been superseded by Economic Organisation and Public Policy Discussion Papers 07, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Shibamoto, M.; Tsutsui, Y. and Yamane, C. (2016). “Understanding reginal growth dynamics in Japan: panel cointegration approach utilizing the PANIC method”, Journal of the Japanese and international economics, 40: 17-30.
Shin, Y. (1994). “A residual based test for the null of cointegration against the alternative of no cointegration”, Econometric theory, 10(1): 91-115.
Song, F. M. and Wu, Y. (1997). “Hysteresis in unemployment: evidence from 48 US states”, Economic Inquiry, 35: 235-243.
Xiao, Z. and Phillips, P. C. B. (1997). “An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy”, Manuscript, Cowles foundation.
 
فصلنامه مطالعات اقتصادی کاربردی ایران
دوره 6، شماره 22
مرداد 1396
صفحه 1-31

فایل ها

هم رسانی

ارجاع به این مقاله

آمار