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Dynamic asymmetries in US unemployment

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Author Info

  • Gary Koop

    ()

  • Simon M. Potter

Abstract

We examine dynamic asymmetries in US unemployment using non-linear time series models and Bayesian methods. We find strong statistical evidence in favour 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 finding of particular interest is that shocks which lower the unemployment rate tend to have a smaller effect than shocks which raise the unemployment rate. This finding is consistent with unemployment rises being sudden and falls gradual.

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Bibliographic Info

Paper provided by Edinburgh School of Economics, University of Edinburgh in its series ESE Discussion Papers with number 15.

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Length: 39
Date of creation: Oct 2004
Date of revision:
Handle: RePEc:edn:esedps:15

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Keywords: Nonlinearity; Threshold Autoregression; Bayesian; Unemployment.;

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