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    Hysteresis hypothesis vs. structuralist view in Canada: a new test for the sharp break and smooth shift
    (Academy of Economic Studies, 2021) Bolat, Süleyman; Belke, Murat; Omay, Tolga
    We have investigated the hysteresis hypothesis using a newly proposed unit root test which considers both sharp breaks and smooth shifts in its testing process for Canada during the period 1960-2019 in this study. The so-called unit root test allows researchers control for sharp breaks such as crises, smooth shifts such as nonlinearities, simultaneously. In proposing this highly complex trend structure, we are also proposing a new way for the macroeconomic theorist to model the unemployment rate following the structuralist view. It takes into account the structural breaks and possible nonlinearities as form of smooth shifts which leads to a new form of structuralist view. The empirical results display that the unemployment rates in Canada follow a non-hysteresis path under the presence of sharp and smooth structural breaks.
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    Re-examining the real interest rate parity hypothesis under temporary gradual breaks and nonlinear convergence
    (Institute for Ionics, 2024) Hasanov, Mübariz; Omay, Tolga; Abioğlu, Vasif
    This paper investigates the real interest parity hypothesis by testing stationarity of real interest rate differentials for 52 countries with respect to the USA. Taking account of the fact that both asymmetric adjustment and gradual temporary breaks may better characterize the dynamics of real interest rate differentials, we propose a new test that allows for two temporary shifts together with asymmetric adjustment towards the equilibrium. We employ the newly proposed test procedure along with the conventional ADF test as well as nonlinear KSS and OSH tests to examine stationarity of real interest rate differentials. Among the main results, we find that the newly proposed unit root test procedure highly outperforms the existing unit root tests in terms of rejecting the null hypothesis of unit root. Our results suggest that real interest rate differentials can be characterized by a stationary process with asymmetric adjustment around gradual and temporary shifts of mean.