We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our …

-uncertainty regimes using past fundamental shocks, but an exogenous uncertainty shock still exists. Model estimation un- covers evidence … of state-dependent uncertainty effects. Shock responses significantly vary, depending on the current uncertainty regime … and shock magnitude. In the high (low) SS-uncertainty regime, economic activities decrease (increase) regardless of shock …

increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …

-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high …