REVISIT HYSTERESIS UNEMPLOYMENT IN EASTERN EUROPEAN COUNTRIES USING QUANTILE REGRESSION

• Authors: Xie Hong , Chang Tsangyao , Grigorescu Adriana , Hung Ken
• Languages of publication: EN

Abstracts

EN

This study revisits hysteresis unemployment hypothesis for 9 Eastern European countries (i.e., Bulgaria, Czech Republic, Hungary, Lithuania, Latvia, Poland, Romania, Russia and Slovakia) over 2000M1 – 2016M8. We apply Quantile unit root tests with and without smooth multiple breaks through Fourier function. These Quantile tests have been proved with good power and size when the data follows heavy-tailed distribution. Empirical results from Quantile unit root tests demonstrate hysteresis unemployment holds in Hungary and Romania two countries only and shocks to the unemployment of each country are asymmetric. Our study has important policy implications for government conducting fiscal or monetary policy to stabilize economic fluctuations in Eastern European countries.

Keywords

EN

HYSTERESIS UNEMPLOYMENT; QUANTILE UNIT ROOT TEST; FOURIER FUNCTION; EASTERN EUROPEAN COUNTRIES

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2018
• Volume: 66
• Issue: 5
• Pages: 522 – 537

Contributors

author

Xie Hong

• School of Business Administration, Zhejiang Gongshang University, 8 Xuezheng Str., Xiasha, Hangzhou, 310018, China

author

Chang Tsangyao

author

Grigorescu Adriana

author

Hung Ken