شناسایی اثر تاخیری در نرخ بیکاری با تاکید بر نسل دوم آزمون‌های ریشه واحد پانل و رویکرد panic

نحوه ی عکس العمل بازار کار به شوک ‌های وارده، بیانگر برقراری فرضیه ی نرخ طبیعی و یا در مقابل آن فرضیه‌ی اثر تاخیری است. در این مطالعه با استفاده از نسل‌های اول و دوم آزمون ریشه واحد پانل با تاکید بر نسل دوم، فرضیه‌ی وجود اثر تاخیری در برابر نرخ طبیعی در بازه زمانی بهار 1384 تا پاییز 1394 مورد بررسی قرار گرفته است. استفاده از رویکرد به‌کار رفته در این مطالعه از دو جهت شبهات احتمالی در نتایج پیشین را کاهش می­‌دهد. اولاً با افزایش حجم نمونه با استفاده از داده­ های پانل به‌جای داده های سری زمانی و ثانیاً استفاده از روشی جدید که به‌دلیل دقت بالا در نتایج، کاربرد فراوانی در جهت شناسایی ریشه واحد دارد. نتایج آزمون های نسل اول بر مانا بودن نرخ بیکاری و رد فرضیه‌ی اثر تاخیری دلالت دارد درحالی‌که آزمون‌های نسل دوم، وجود 4 روند تصادفی مشترک در متغیر مورد بررسی را نشان می دهد و در نتیجه فرضیه ی وجود اثر تاخیری در نرخ بیکاری اقتصاد ایران پذیرفته می شود. از آن‌جایی‌که با وجود وابستگی مقطعی در پانل، نسل دوم آزمون‌های ریشه واحد کارایی بالاتری دارند، وجود اثر تاخیری در نرخ بیکاری تایید می شود. شرایط موجود بازار کار نیز موید اثر فوق است. با اثبات وجود اثر تاخیری اعمال سیاست های بلندمدت به‌جای راه‌حل­‌های کوتاه­ مدت برای ثبات بخشیدن به بازار کار پیشنهاد می شود.

Identifying hysteresis effect in unemployment rate with emphasis on second generation panel unit root and PANIC method

In the last decade, Iran is one of the numerous countries with persistent and high unemployment rate. Examining of unemployment trend in Iran shows that over the recent years, this variable has been constantly at a high level, without any tendency to converge to a certain amount. This issue justifies the necessity of examining the existence of hysteresis effect hypothesis in unemployment rate of Iranian economy. In fact, the term of hysteresis effect means dependency to the past. Therefore, hysteresis effect in unemployment rate implies the dependency between current and past unemployment rates. In this situation, all the shocks will have a permanent effect on the path of unemployment and the economy will never achieve longterm equilibrium because the equilibrium is changing constantly. Due to above, hysteresis effect hypothesis is counterpoint of natural rate of unemployment. The reaction of the labor market to the shocks will be established the existence of natural rate of unemployment hypothesis (In the absence of unit root) or the alternative (if there is a unit root process), hysteresis effect hypothesis. When natural rate of unemployment hypothesis is established, after a direct (or indirect) shock to the labor market, unemployment rate will converge to the longterm value which is calld natural rate of unemployment without any kind of intervention while if there is hysteresis effect, the convergenc of unemployment rate to the longterm value after a shock will not take place. In this study the existing of hysteresis effect in unemployment rate of Iranian economy is investigated with using first and second generations of panel unit root tests with emphasis on second one in period 2005Q12015Q3. In addition to the evolution of unit root tests in terms of the heterogeneity problem which ocurres in time series estimations, a second evolution has also heppend recently that takes the existence of crosssectional dependence into account. One of the methods which categorize in the second generation of unit root tests is PANIC approach. We employ the PANIC procedurs of Bai and Ng (2004), which allows us to decompose the observed unemployment rate series into common factor and idiosyncratic components. This enables us to identify the source behind the hysteretic behavior which may be found. Using this method decreases the possible doubts on the results of the previous study in two ways. First, with increasing the sample size due to using of panel data instead of time series data. Second, with applying the new method which is used frequently due to more accurate output. While the results of first generation tests show that the unemployment rate is stationary, the second generation refers to the nonstationary process and prove the existence of hysteresis effect in unemployment rate. Due to the higher efficiency of second generation when the crosssection dependency in the panel is identified, we rely on this method and then hysteresis effect hypothesis is accepted which is in accordance with the evidence of labor market. The existence of hysteresis effect suggests longrun policies rather than shortrun solutions to stabilize the labor market. Furthermore, proving that there is a hysteresis effect in unemployment rate, it is suggested that the sources of this effect be analyzed in future studies. It should be noted that in this study four stochastic trend that led to nonstationarity and hysteresis effect were identified. Future studies can introduce these resources by studying precisely the methods for identifying the sources which generate hysteresis effect.