標題: Nonlinear vs. nonstationary of hysteresis in unemployment: evidence from OECD economies
作者: Lin, Cheng-Hsun
Kuo, Nai-Fong
Yuan, Cheng-Da
經營管理研究所
Institute of Business and Management
公開日期: 2008
摘要: This study examines the lower and higher boundaries for the threshold value to be considered an indicator of unemployment in a specific country. Specially, the objective is to conduct the critical moment of hysteresis effects happening in unemployment rate using a group of 16 OECD countries. The methodological strategy applies a developed tool of threshold tests involving unit root against stationary but nonlinear alternative by Caner and Hansen (2001). A significant contribution of this study is identifying a trigger point from the nonstationary of time series process for the first time in the literature. Our empirical results finds strong evidence of the existence of nonlinear stationary in Australia, Canada, Finland, France, Germany, Ireland, Japan, Netherlands and the USA when the threshold effect holds. The hysteresis hypothesis is further confirmed by the fact that the unemployment rate exceeds the boundaries of the band, for Australia, Finland, France, Germany, Japan and the USA when the threshold unit root test of Caner and Hansen is rigorously implemented.
URI: http://hdl.handle.net/11536/14303
http://dx.doi.org/10.1080/13504850600949145
ISSN: 1350-4851
DOI: 10.1080/13504850600949145
期刊: APPLIED ECONOMICS LETTERS
Volume: 15
Issue: 11
起始頁: 905
結束頁: 909
顯示於類別:期刊論文


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