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Thought I'd see what a slightly longer series would show.
Taking the annual data from the BLS information
from 1947 through 2009, and noting when each party controlled the House of Representatives (Democratic except for 1947-48, 1953-54, and 1995-2005), I ran a regression using those numbers. It turns out that when you take into account the fact that there has been an overall trend of about four-one hundreths of one percent annual increase in unemployment during this time, the Democrats being in control of the House of Representatives is associated with an increase in unemployment of about 1.65% (plus or minus 0.78%) above the level found when the Republicans are in control of the House. All regression numbers are significant at better than the 99% confidence level.
It should be noted, of course, that regression/correlation does NOT necessarily prove causality.