This paper applies the regression quantile approach developed by Koenker and Xiao (2004) to investigate the dynamic behavior of unemployment rates in 20 developed countries and developing countries. This method allows us to show potential asymmetric responses of unemployment to exogenous shocks across various quantiles, depending on the sizes and sign of the shocks that hit the unemployment rate. Our results suggest that generally, the unemployment rates are not only mean-reverting but also exhibit asymmetries in their dynamic adjustments, in the sense that in the lower quantiles of economic booms, large negative shocks tend to induce strong mean reversion, while in the upper quantiles of economic recessions, large positive shocks do not, and hysteresis exists. These findings also can explain why unemployment rates display the dynamics of fast rises and slow falls.