hysteresisinunemploymentevidencefrom-經濟與管理論叢.pdfVIP

經濟與管理論叢(Journal of Economics and Management), 2011, Vol. 7, No. 1, 135-158 Hysteresis in Unemployment: Evidence from OECD Countries Shu-Ching Huang Department of International Trade, Jun Shan University, Taiwan The natural rate of unemployment is the equilibrium unemployment rate. If the actual unemployment rate does not fluctuate around some “natural” rate, it is implied that the unemployment rate may follow a non-stationary process. Existing studies using the conventional ADF unit-root test generally fail to reject the null hypothesis of a unit root in the unemployment rate. These findings have been interpreted as providing support for the hysteresis hypothesis. In this paper, we analyze a panel of unemployment rate series of OECD countries by employing a more powerful test which exploits the cross-section variations in the constituent series. An important issue that we consider concerns the appropriate critical values for the panel data unit-root test in the presence of serial correlation and contemporaneous correlation. The critical values are computed from bootstrapping simulations. We support the hysteresis hypothesis of the unemployment rate series of OECD countries. Keywords: hysteresis hypothesis, panel data unit-root test, bootstrap JEL classification: E32, C32 136 經濟與管理論叢(Journal of Economics and Management) OECD國家磁滯性失業之實證研究 * 黃淑卿 崑山科技大學國貿系 最近，許多工業國家持續大量的失業，失業率偏離了均衡的失業率，使自然失業率的假 設面臨了挑戰。本文以不同型態之追蹤資料單根檢定法，檢定自然失業率是否成立。在 實證迴歸模型設定上本文考慮資料之異質性、同期相關性及序列相關性；此外，本文藉 由「靴帶反覆抽樣 (bootstrapping) 」模擬方法來模擬統計量的小樣本分配，以解決有限 樣本偏誤的問題。實證結果指出