Dynamic Asymmetries in U.S. Unemployment

We examine dynamic asymmetries in U.S unemployment using nonlinear time series models and Bayesian methods.We ae n d strong statistical evidence in favor of a two-regime threshold autoregressive m o d e l .Empirical results indicate that, once we t a k e i n to account both parameter and model uncertainty, there are economically interesting asymmetries in the unemployment r a t e .One aending of particular interest is that shocks which l o wer the unemployment rate tend to have a smaller eaeect than shocks which raise the unemployment r a t e .This aending is consistent with unemployment r i s e s being sudden and falls gradual.