We examine dynamic asymmetries in U.S unemployment using nonlinear time series models and Bayesian methods. We n d strong statistical evidence in favor of a two-regime threshold autoregressive model. 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 rate. One nding of particular interest is that shocks which l o wer the unemployment rate tend to have a smaller e ect than shocks

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... which r a i s e the unemployment rate. This nding is consistent with unemployment rises being sudden and falls gradual.