Time-Varying Okun Coefficient and Its Determinants: An Empirical Analysis

Yıl 2021, , 101 - 113, 20.06.2021

Bilge Pekçağlayan , Lütfi Erden

https://doi.org/10.17494/ogusbd.952765

Cited By: 1

Öz

Okun Law (1962) shows the trade-off between the unemployment rate and economic growth. In this study, we propose a distinct and advantegous empirical methodology, multivariate autoregressive conditional variance-dynamic conditional correlation (DCC-GARCH) model to examine the time-varying structure of Okun coefficient. Using quarterly data on economic growth and unemployment over the periods of 1990:1-2017:4 from 45 countries, a DCC-GARCH (1,1) model is estimated for each country in the sample. Further, this study goes on to examine the possible factors affecting Okun’s coefficient by second generation panel regression models. To this end, common correlated effects mean group (CCEMG) model is estimated. The findings show that the time-varying Okun coefficients are associated mainly with productivity shocks. More specifically, productivity shocks seem to reduce the magnitude of the linkage between unemployment and growth.

Anahtar Kelimeler

Time-Varying Okun Coefficient, DCC-GARCH, CCEMG Model

Zaman-Değişen Okun Katsayısı ve Belirleyicileri: Ampirik Bir Analiz

Öz

Okun Yasası (1962), işsizlik ile büyüme arasındaki ödünleme ilişkisini ortaya koymaktadır. Bu çalışmada Okun katsayısının zaman-değişen yapısını irdelemek üzere farklı ve avantajlı bir ampirik metodoloji, çok değişkenli otoregresif koşullu değişen varyans-dinamik koşullu korelasyon (DCC-GARCH) modeli, önerilmektedir. Bu amaçla çalışmanın ilk aşamasında, örneklemdeki gelişmiş ve gelişmekte olan 45 ülkenin her biri için 1990:1-2017:4 yıllarına ait çeyrek dönemlik büyüme ve işsizlik serilerine DCC-GARCH(1,1) modeli uygulanmıştır. Çalışmanın ikinci aşamasında ise Okun katsayısını etkileyen faktörler, parametre heterojenliğine izin veren ve yatay kesit bağımlılığını dikkate alan ikinci nesil heterojen panel veri modelleri ile incelenmiştir. Bu amaçla ortak korelasyonlu etkiler ortalama grup (CCEMG) modeli 1990-2017 yılları arası 43 ülkeden alınan panel veri ile tahmin edilmiş ve verimlilik şoklarının zaman-değişen Okun katsayısını açıklamada anlamlı rolü olduğu görülmüştür.

Anahtar Kelimeler

Zaman-Değişen Okun Katsayısı, DCC-GARCH, CCEMG Modeli

Kaynakça

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