Dynamic asymmetries in US unemployment
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.
|Date of creation:||Feb 1998|
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