IDEAS home Printed from https://ideas.repec.org/p/zbw/glodps/123.html
   My bibliography  Save this paper

Long memory in Turkish Unemployment Rates

Author

Listed:
  • Gil-Alana, Luis A.
  • Ozdemir, Zeynel Abidin
  • Tansel, Aysit

Abstract

In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most cases. This implies lack of mean reversion and permanence of the shocks. We found evidence in favor of mean reversion in the case of female unemployment and this happens for all the groups of non-agricultural, rural, urban and youth unemployment series. The possibility of non-linearities are observed only in the case of female unemployment and the degree of persistence is higher in the cases of female and youth unemployment series. Important policy implications emerge from our empirical results. Labor and macroeconomic policies will most likely have long lasting effects on the unemployment rates.

Suggested Citation

  • Gil-Alana, Luis A. & Ozdemir, Zeynel Abidin & Tansel, Aysit, 2017. "Long memory in Turkish Unemployment Rates," GLO Discussion Paper Series 123, Global Labor Organization (GLO).
  • Handle: RePEc:zbw:glodps:123
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/169356/1/GLO-DP-0123.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
    2. Andrew E. Clark, 2003. "Unemployment as a Social Norm: Psychological Evidence from Panel Data," Journal of Labor Economics, University of Chicago Press, vol. 21(2), pages 289-322, April.
    3. Marco Bianchi & Gylfi Zoega, 1998. "Unemployment persistence: does the size of the shock matter?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 283-304.
    4. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
    5. Binnur Balkan & Yusuf Soner Baskaya & Semih Tumen, 2014. "Evaluating the Impact of the Post-2008 Employment Subsidy Program in Turkey," Working Papers 1414, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    6. Layard, Richard & Nickell, Stephen & Jackman, Richard, 2005. "Unemployment: Macroeconomic Performance and the Labour Market," OUP Catalogue, Oxford University Press, number 9780199279173.
    7. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    8. Kurmaş Akdoğan, 2017. "Unemployment hysteresis and structural change in Europe," Empirical Economics, Springer, vol. 53(4), pages 1415-1440, December.
    9. Juan Carlos Cuestas & Javier Ordonez, 2011. "Unemployment and common smooth transition trends in Central and Eastern European Countries," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 39-52, September.
    10. Baillie, Richard T. & Morana, Claudio, 2009. "Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1577-1592, August.
    11. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    12. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    13. Luis Alberiko Gil-Alaña & Juan C. Cuestas, 2012. "A non-linear approach with long range dependence based on Chebyshev polynomials," NCID Working Papers 11/2012, Navarra Center for International Development, University of Navarra.
    14. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, March.
    15. Luis A. Gil‐Alana, 2008. "Fractional integration and structural breaks at unknown periods of time," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 163-185, January.
    16. Skalin, Joakim & Teräsvirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(2), pages 202-241, April.
    17. Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2020. "Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    18. Barro, Robert J, 1988. "The Persistence of Unemployment," American Economic Review, American Economic Association, vol. 78(2), pages 32-37, May.
    19. Cross,Rod Preface by-Name:Blanchard,Olivier (ed.), 1995. "The Natural Rate of Unemployment," Cambridge Books, Cambridge University Press, number 9780521483308, October.
    20. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
    21. Brunello, Giorgio, 1990. "Hysteresis and "The Japanese Unemployment Problem": A Preliminary Investigation," Oxford Economic Papers, Oxford University Press, vol. 42(3), pages 483-500, July.
    22. Gil-Alana, Luis A, 2001. "A Fractionally Integrated Exponential Model for UK Unemployment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(5), pages 329-340, August.
    23. Song, Frank M & Wu, Yangru, 1997. "Hysteresis in Unemployment: Evidence from 48 U.S. States," Economic Inquiry, Western Economic Association International, vol. 35(2), pages 235-243, April.
    24. Gil-Alana, Luis A., 2002. "Structural breaks and fractional integration in the US output and unemployment rate," Economics Letters, Elsevier, vol. 77(1), pages 79-84, September.
    25. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
    26. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
    27. Veli YILANCI, 2008. "Are Unemployment Rates Nonstationary or Nonlinear? Evidence from 19 OECD Countries," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-5.
    28. David H. Papell & Christian J. Murray & Hala Ghiblawi, 2000. "The Structure of Unemployment," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 309-315, May.
    29. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    30. Luis Gil-Alana, 2001. "The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models," Applied Economics, Taylor & Francis Journals, vol. 33(10), pages 1263-1269.
    31. Dimitris K. Christopoulos & Miguel A. León-Ledesma, 2007. "Unemployment hysteresis in EU countries: what do we really know about it?," Journal of Economic Studies, Emerald Group Publishing, vol. 34(2), pages 80-89, May.
    32. Ewing, Bradley T. & Wunnava, Phanindra V., 2001. "Unit roots and structural breaks in North American unemployment rates," The North American Journal of Economics and Finance, Elsevier, vol. 12(3), pages 273-282, November.
    33. Song, Frank M. & Wu, Yangru, 1998. "Hysteresis in unemployment: Evidence from OECD countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 181-192.
    34. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    35. Roed, Knut, 1996. "Unemployment Hysteresis--Macro Evidence from 16 OECD Countries," Empirical Economics, Springer, vol. 21(4), pages 589-600.
    36. Arestis, Philip & Biefang-Frisancho Mariscal, Iris, 1999. "Unit roots and structural breaks in OECD unemployment," Economics Letters, Elsevier, vol. 65(2), pages 149-156, November.
    37. Giray GOZGOR, 2013. "Unemployment Persistence and Inflation Convergence: Evidence from Regions of Turkey," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 13(1), pages 55-64.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Murat Demirci & Meltem Poyraz, 2021. "A Practitioner’s Guide to Handling Irregularities Resulting from the 2014 Revisions to the Turkish Household Labor Force Survey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 35(1), pages 1-25.
    2. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida, 2019. "Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(6), pages 2781-2795, November.
    3. Sakiru Adebola Solarin & Luis A. Gil-Alana & Carmen Lafuente, 2020. "Persistence of the Misery Index in African Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 825-841, February.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Luis Alberiko Gil-Alana & Zeynel Abidin Ozdemir & Aysit Tansel, 2019. "Long Memory in Turkish Unemployment Rates," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(1), pages 201-217, January.
    2. Cuestas, Juan C. & Gil-Alana, Luis A. & Staehr, Karsten, 2011. "A further investigation of unemployment persistence in European transition economies," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 514-532.
    3. Juan Carlos Cuestas & Luis A. Gil-Alana, 2011. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies," Working Papers 2011005, The University of Sheffield, Department of Economics, revised Feb 2011.
    4. Juan Carlos Cuestas & Luis A. Gil-Alana, 2009. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe," NBS Discussion Papers in Economics 2009/6, Economics, Nottingham Business School, Nottingham Trent University.
    5. Omay, Tolga & Shahbaz, Muhammad & Stewart, Chris, 2021. "Is There Really Hysteresis in OECD Countries’ Unemployment Rates? New Evidence Using a Fourier Panel Unit Root Test," MPRA Paper 107691, University Library of Munich, Germany, revised 10 May 2021.
    6. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
    7. Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
    8. Matteo Lanzafame, 2010. "The nature of regional unemployment in Italy," Empirical Economics, Springer, vol. 39(3), pages 877-895, December.
    9. Tolga Omay & Muhammad Shahbaz & Chris Stewart, 2021. "Is there really hysteresis in the OECD unemployment rates? New evidence using a Fourier panel unit root test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 875-901, November.
    10. Dilem Yıldırım & Dilan Aydın, 2021. "One Crisis After Another: A Dynamic Unemployment Persistence Analysis For The Gips Countries," ERC Working Papers 2102, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
    11. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
    12. Khraief, Naceur & Shahbaz, Muhammad & Heshmati, Almas & Azam, Muhammad, 2020. "Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    13. Cheng, Shu-Ching & Wu, Tsung-pao & Lee, Kuei-Chiu & Chang, Tsangyao, 2014. "Flexible Fourier unit root test of unemployment for PIIGS countries," Economic Modelling, Elsevier, vol. 36(C), pages 142-148.
    14. Lee, Chien-Chiang & Chang, Chun-Ping, 2008. "Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks," Economic Modelling, Elsevier, vol. 25(2), pages 312-325, March.
    15. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2004. "Testing for hysteresis in unemployment in OECD countries. New evidence using stationarity panel tests with breaks†," Economic Working Papers at Centro de Estudios Andaluces 2004/40, Centro de Estudios Andaluces.
    16. Krzysztof Bartosik & Jerzy Mycielski, 2016. "Dynamika płac a długotrwałe bezrobocie w polskiej gospodarce," Bank i Kredyt, Narodowy Bank Polski, vol. 47(5), pages 435-462.
    17. Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Puah, Chin-Hong, 2009. "Does Hysteresis in Unemployment Occur in OECD Countries? Evidence from Parametric and Non-Parametric Panel Unit Roots Tests," MPRA Paper 9915, University Library of Munich, Germany.
    18. Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 95-112, May.
    19. Paresh Kumar Narayan & Ingrid Nielsen & Russell Smyth, 2010. "Is There a Natural Rate of Crime?," American Journal of Economics and Sociology, Wiley Blackwell, vol. 69(2), pages 759-782, April.
    20. Diego Romero‐Ávila & Carlos Usabiaga, 2007. "Unit Root Tests, Persistence, and the Unemployment Rate of the U.S. States," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 698-716, January.

    More about this item

    Keywords

    Unemployment; hysteresis; NAIRU; fractional integration; Turkey;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:glodps:123. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/glabode.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/glabode.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.