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Asymmetric persistence and the unemployment hysteresis question in emerging markets: evidence from advanced quantile unit-root tests

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  • Emre Kilic
  • Ersin Yavuz
  • Eren Ergen
  • Sevinc Yarasir Tulumce

Abstract

Solving the unemployment hysteresis puzzle is vital to government policies, since the structural or cyclical nature of the problem constitutes the direction of the policies to be implemented. This study aims to provide new findings by examining the unemployment hysteresis puzzle for emerging markets from an asymmetric perspective. This study conducts a comprehensive analysis using both conventional and quantile unit root tests. We focus on the Fourier non-linear quantile unit root test, which considers heavy-tailed (non-normal) distributions, structural shifts, non-linearity, and asymmetric adjustment simultaneously. The results indicate that in the Dickey and Fuller test and its extensions, while the null hypothesis of the unit root is rejected in 33% of emerging markets, this rate increases to 55% in quantile Kolmogorov-Smirnov tests and dramatically to 72% in Fourier non-linear quantile unit root test. These findings provide fresh evidence for solving the unemployment hysteresis puzzle in emerging markets.

Suggested Citation

  • Emre Kilic & Ersin Yavuz & Eren Ergen & Sevinc Yarasir Tulumce, 2023. "Asymmetric persistence and the unemployment hysteresis question in emerging markets: evidence from advanced quantile unit-root tests," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 47(3), pages 244-261, July.
    • Handle: RePEc:taf:rseexx:v:47:y:2023:i:3:p:244-261
    DOI: 10.1080/03796205.2023.2208742
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