Dynamic Asymmetries in U.s. Unemployment
نویسنده
چکیده
We examine dynamic asymmetries in U.S unemployment using nonlinear time series models and Bayesian methods. We nd strong statistical evidence in favor of a two-regime threshold autoregressive model. Empirical results indicate that, once we take into account both parameter and model uncertainty, there are economically interesting asymmetries in the unemployment rate. One nding of particular interest is that shocks which lower the unemployment rate tend to have a smaller e ect than shocks which raise the unemployment rate. This nding is consistent with unemployment rises being sudden and falls gradual.
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