This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...

Assessing the state of an economy is not an easy task and generally involves interpreting myriad and sometimes contradictory indicators. In 2007 the authors unveiled a dynamic common factor model, dubbed the D6 Factor, for the economy of the Sixth Federal Reserve District. This model combined...