Dynamic asymmetries in US unemployment

Gary Koop and Simon Potter

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

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.

Keywords: nonlinearity; threshold autoregression; Bayesian; unemployment (search for similar items in EconPapers)
JEL-codes: C11 C22 C52 E24 (search for similar items in EconPapers)
Pages: 39
Date: 1998-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Dynamic Asymmetries in U.S. Unemployment (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:edn:esedps:15

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