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This paper reports the results of an empirical investigation of business cycle asymmetries in the Italian economy. Macroeconomic time series, both annual post-Unity and quarterly post-world war II, are subjected to nonlinearity and asymmetry tests. The dynamics of recessions and expansions are then modelled with threshold autoregressive and Markov-switching models. The paper shows that allowing for two regimes is sufficient to account for the finding of neglected nonlinearity. The results indicate that business cycle asymmetries can provide both an intuitive economic interpretation and a parsimonious representation of nonlinearities in macroeconomic time series.