UNEMPLOYMENT HYSTERESIS IN TURKEY AND APPLICATION OF STAR MODELS

Yıl 2011, Cilt: 31 Sayı: 2, 45 - 60, 17.03.2015

Ali Koçyiğit Tayfur Bayat , Ali Tüfekçi

Öz

In this research, it's been studied whether economic shocks affect natural
unemployment rate biases in Turkey by analyzing unemployment rates between the
years of 1923–2010. Stationarity of series is tested by using Augmented DickeyFuller test developed by Dickey and Fuller (1981). It has been concluded that series
are not stationary on level values.Smooth Transition Autoregressive (STAR) models
which is widely accepted for testing the presence of unemployment hysteria and
nonlinear impulse-response function have been used for the detection of this effect.According to results of smooth transition autoregressive model, for Terasvirta
(1994) process and Escribano-Jorda (1997) procedure, logistic smooth transition
model (LSTAR) was chosen. After the application of this model, we investigated that
domestic and international economic fluctuations cause change in the figure of
natural unemployment rate.

Anahtar Kelimeler

Unemployment Hysteresis, STAR Models, Natural Unemployment Rate

TÜRKİYE’DE İŞSİZLİK HİSTERİSİ VE STAR MODELLERİ UYGULAMASI

Öz

Bu çalışmada Türkiye’nin 1923–2010 dönemine ait yıllık işsizlik oranı
kullanılarak zamanla meydana gelen şokların Türkiye’deki işsizliğin doğal oranına
etkisi olup olmadığı araştırılmıştır. Genişletilmiş Dickey-Fuller (1981) birim kök
testi kullanılarak serinin düzey değerlerinde durağan olmadığı sonucuna varılmıştır.
Literatürde işsizlik histerisinin varlığının sınanmasında geniş kullanım alanı olan
yumuşak geçişli otoregresif modelleri (STAR) ve doğrusal olmayan etki-tepki
fonksiyonları kullanılmıştır. Yumuşak geçişli otoregresif modeli uygulamasına göre
Terasvirta (1994) süreci ve Escribano-Jorda (1997) prosedürü için lojistik yumuşak
geçişli otoregresif modeli seçilmiştir. Model uygulamasının sonucunda, iç ve dış
iktisadi dalgalanmaların işsizliğin doğal oranında değişmelere neden olduğu
bulunmuştur

Anahtar Kelimeler

Ġşsizlik Histerisi, STAR Modeller, Doğal Ġşsizlik Oranı

Kaynakça

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