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REVISIT HYSTERESIS UNEMPLOYMENT IN EASTERN EUROPEAN COUNTRIES USING QUANTILE REGRESSION

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Xie H., Chang T., Grigorescu A., Hung K.
Ekonomický časopis (Journal of Economics)
|
2018
|
vol. 66
|
issue 5
522 – 537
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.
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