분수차분모형에 의한 노동시장 이력현상 분석
Labor Market Hysteresis in ARFIMA Models: An Empirical Evidence from Korea
0
조회
0
다운로드
6
인용
0
참고문헌
키워드
초록
이 논문은 한국의 노동시장의 이력현상을 전통적인 단위근 검정방법과 내생적 구조변화를 허용한 단위근 검정방법, 그리고 분수차분 모형을 바탕으로 실증분석하였다. 이를 위해 1982년 7월부터 2011년 3월까지의 실업률, 고용률 및 경제활동참가율을 전체 및 성별로 구분하여 검증하고 분수차분 모형에 적용하였다. 실증분석 결과, 실업률의 경우 단위근 검정 방법에 의한 결과와는 달리 ARFIMA 모형에서 실업률이 평균회귀 성향을 갖고 있으나 불안정한 것으로 나타났다. 또한 여성 실업률의 경우 추정된 분수차분계수가 전체 실업률이나 남성의 실업률 보다 크게 나타나 高실업률의 지속 정도가 상대적으로 크게 나타나는 것으로 밝혀졌다. 한편 전체 고용률은 불안정한 시계열이지만 평균회귀 성향을 갖고 있는 것으로 나타났지만 추정된 분수차분계수가 1에 가깝게 나타나 평균회귀과정이 장기간 이어질 수 있음을 시사하고 있다. 남성과 여성 고용률, 그리고 모든 경제활동참가율은 분수차분계수가 1보다 크게 나타나 불가역적이고 불안정하며 이력가설이 지지됨을 보이고 있다. 이러한 실증결과는 세계금융위기와 같은 일시적인 충격으로 한국의 노동시장에서 高실업이 장기적으로 지속될 수 있음을 의미한다. 따라서 경기불황 타개와 실업문제를 해결하기 위해 단기적으로 정부의 시장개입이 필요함을 시사한다.
Abstract
This paper investigates the hysteresis hypothesis of the labor markets based on unit root tests with or without structural breaks using Korean monthly data over the period 1982. 07~2011. 03. It also examines the persistence of unemployment, employment and participation rates in the fractionally integrated ARMA (ARFIMA) model. The empirical results show that employment and participation rates should have a unit root, supporting the hysteresis hypothesis of labor markets. This implies that external shocks could have permanent effects on the Korean labor market. However, in the ARFIMA model, the unemployment rate is found to be covariance nonstationary but to present mean-reverting behavior. Interestingly, the unemployment rate for females is found to be more persistent than both for the whole people and for males, suggesting that external demand shocks have more persistent effects on female unemployment. On the other hand, the order of integration in employment and participation rates can be much higher than 1, rejecting the null hypothesis of a unit root in both series. This implies that external demand shocks may affect the unemployment rates shifting unemployment equilibrium from one level to another, which suggest that there should be an important role for active Intervention policy in Korean labor market in response to economic recession.
참고문헌 (39)
- 김웅, "우리나라 노동시장의 이력현상 분석", 금융경제연구, (397) (2009), 한국은행
- 신선우, "인플레이션의 장기기억효과 분석", 국제경제연구, 9(3), pp.163~182 (2003), 한국국제경제학회
- 조하현, "원", 달러 환율과 엔, 국제경제연구, pp.2004, 10(3)[DOI]
- Baillie, R, "Long Memory Process and Fractional Integration in Econometrics", Journal of Econometrics, 73, pp.5~59 (1996)
- Hysteresis in Unemployment: Old and New Evidence, "Ball, L. M", NBER, ~, pp.Working Paper, 14818 (2009)
- Blanchard, O. J, "Monetary Policy and Unemployment" (2003), Mimeo
- Blanchard, O. J, "Hysteresis and the European Unemployment Problem, In NBER Macroeconomic Annual", pp.15~78 (1986), MIT Press
- Caporale, G, "Nonlinearity and Fractional Integration in the US Unemployment", Oxford Bulletin of Economics and Statistics, 69(4), pp.521~544 (2007)
- Unemployment Hysteresis, Structural Changes, Non-Linearities and Fractiona Integration in Central and Eastern Europe, "Cuestas, J", Nottingham Trent University, ~ (2009)
- Hysteresis in Unemployment: Do Structural Breaks and Aggregation Matter, "Carmeci, G", Department of Economics and Statistics, University of Trieste, ~, pp.Working Paper, 104 (2006)
- Cin, B. C, "Sources of Economic Fluctuations in Korean Small Open-macroeconomy Using Structural VAR model with Error Correction Terms", Journal of Korea Trade, 5(1), pp.167~190 (2001)
- Diebold, F. X, "On the Power of Dickey-Fuller Test against Fractional Alternatives", Economic Letters, 35(2), pp.155~160 (1991)
- Geweke, J, "The Estimation and Application of Long Memory Models", Journal of Time Series Analysis, 4, pp.221~238 (1983)
- Gil-Alana, L, "The Persistence of Unemployment in the USA and Europe in Terms of Factional ARIMA Models", Applied Economics, 33(10), pp.1263~1269 (2001)
- Granger, C, "An Introduction to Long-Memory Models and Fractional Differencing", Journal of Time Series Analysis, 1, pp.15~39 (1980)
- Gustavsson, M, "The Information Value of Unemployment Statistics: A Note on the Time Series Properties of Participation Rates", Economic Letters, 92(3), pp.428~433 (2006)
- Gustavsson, M, "Does Unemployment Hysteresis Equal Employment Hysteresis", Economic Record, 83(261), pp.159~173 (2007)
- Hosking, J, "Fractional Differencing", Biometrika, 68, pp.165~176 (1981)
- Hassler, W, "Long Memory in Inflation Rates: International Evidence", Journal of Business and Economic Statistics, 13(1), pp.37~45 (1995)
- Johansen, S, "Statistical Analysis of Cointegrating Vectors", Journal of Economic Dynamics and Congtrol, 12, pp.169~210 (1988)
- Kapetanios, G, "Testing for a Unit Root in the Nonlinear STAR Framework", Journal of Econometrics, 112, pp.359~379 (2003)
- Kramer, W, "Fractional Integration and the Augmented Dickey-Fuller Test", Economic Letters, 61(3), pp.269~272 (1988)
- Kwiatkowski, D, "Testing the Null Hypothesis of Stationary against the Alternative of a Unit Root", Journal of Econometrics, 54, pp.159~178 (1992)
- Lee, H. Y, "Hysteresis in East Asian Unemployment", Applied Economics, 42(7), pp.887~898 (2010)
- Lee, J. S, "Minimum LM Unit Root Test with Two Structural Breaks", Review of Economics and Statistics, 85(4), pp.1082~1089 (2003)
- Leon-Ledesma, M. A, "Unemployment Hysteresis in the U.S. States and the EU: A Panel Approach", Bulletin of Economic Research, 54(2), pp.95~103 (2002)
- Leon-Ledesma, M. A, "Unemployment, Hysteresis and Transition", Scottish Journal of Political Economy, 51(3), pp.377~401 (2004)
- Murphy, K. M, "Unemployment and Nonemployment", American Economic Review, 87(2), pp.295~300 (1997)
- Perron, P, "Dealing with Structural Breaks, In Palgrave Handbook of Econometrics, 1", pp.278~352 (2006)
- Robinson, P. M, "Gaussian Semi-parametric Estimation of Long Range Dependence", Annals of Statistics, 23, pp.1630~1661 (1995)
- Schmidt, P, "LM Test for a Unit Root in the Presence of Deterministic Trends", Oxford Bulletin of Economics and Statistics, 54(3), pp.257~287 (1992)
- Shittu, O. I, "Comparison of Criteria for Estimating the Order of Autoregressive Process: A Monte Carlo Approach", European Journal of Scientific Research, 30(3), pp.409~416 (2009)
- Smyth, R, "Unemployment Hysteresis in Australian States and Territories: Evidence from Panel Data Unit Root", The Australian Economic Review, 36(2), pp.181~192 (2003)
- Song, F. M, "Hysteresis in Unemployment: Evidence from 48 US States", Economic Inquiry, 35, pp.235~243 (1997)
- Sowell, F, "Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Model", Journal of Econometrics, 53, pp.165~188 (1992)
- Staiger, D, "The NAIRU, Unemployment and Monetary Policy", Journal of Economic Perspectives, 11(1), pp.33~49 (1997)
- Tolvi, J, "Unemployment Persistence of Different Labour Force Groups in Finland", Applied Economics Letters, 10(8), pp.455~458 (2003)
- Watson, M. W, "Vector Autoregressions and Cointegration, In Handbook of Econometrics, 3", pp.2844~2910 (1994), Elsevier Science Publisher
- Zivot, E, "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-root Hypothesis", Journal of Business and Economic Statistics, 20(3), pp.25~44 (2002)