Asimetría, Persistencia Y No Linealidad De La Tasa De Desempleo Español

The Asymmetry or counter-cycle nature and its influence on the persistence of the registered unemployment rate is a traditional topic of the economics theory’s analysis. However, studies of the Spanish unemployment done up to now have not dealt with asymmetry. General studies about Spanish unemployment have focused all its attention on demonstrating the long-memory of the series and developing macroeconomic models with vector autoregressions in which the unemployment rate is assumed to be nonstationary and cointegrated with other macroeconomics variables. In this paper, we analyze the unemployment rate series using a smooth transition autoregressive model (STAR), which identifies the different regimes-switching and the smoothness of the transition between the two regimes. This process not only allows us to improve the quality of specification and forecast of the variable, but also helps us to reach the same conclusion as Skalin and Terasvirta (2002), who state that the unemployment rate behaves as locally nonstationary in a globally stable model.