Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test

被引:10
作者
Lee, Cheng-Feng [1 ]
Hu, Te-Chung [2 ,3 ]
Li, Ping-Cheng [4 ]
Tsong, Ching-Chuan [5 ]
机构
[1] Natl Kaohsiung Univ Appl Sci, Dept Business Adm, Kaohsiung 80778, Taiwan
[2] Natl Kaohsiung Univ Appl Sci, Dept Finance, Kaohsiung 80778, Taiwan
[3] Natl Kaohsiung Univ Appl Sci, Inst Finance & Informat, Kaohsiung 80778, Taiwan
[4] Natl Sun Yat Sen Univ, Dept Polit Econ, Kaohsiung 80424, Taiwan
[5] Natl Chi Nan Univ, Dept Econ, Nantou 545, Taiwan
关键词
Unemployment rate; Hysteresis; Quantile regression; Covariate; Unit root test; Asymmetry; ECONOMIC TIME-SERIES; EXCHANGE-RATES; AUTOREGRESSION; NONLINEARITIES; HYSTERESIS;
D O I
10.1016/j.japwor.2013.08.002
中图分类号
F [经济];
学科分类号
02 ;
摘要
Mixed results for unemployment dynamics are reported in many studies using linear or non-linear unit root tests. A possible explanation is that the literature focuses on the average behavior of unemployment and assumes that the speed of adjustment towards its long-run equilibrium is constant, regardless of the magnitudes and signs of shocks. This paper seeks to re-examine the dynamics of the unemployment rates in terms of shocks for 12 OECD countries. A newly developed quantile unit root test by Galvao (2009) is applied to show potential asymmetric responses of unemployment to shocks over various quantiles, depending on the size and sign of the shocks that hit the unemployment rate. Our results suggest that generally, the unemployment rates are not only stationary but also exhibit obvious asymmetric behavior, in the sense that in the lower quantiles, negative shocks with large absolute value tend to induce faster speed of adjustment towards the long-run equilibrium, while in the upper quantiles, large positive shocks do not, and hysteresis exists. These findings can explain why unemployment rates display the behavior of fast rises and slow falls. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码:72 / 84
页数:13
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