The Great Recession has motivated economists to investigate financial uncertainty shocks as potentially important drivers of economic fluctuations. However, not all of the factors affecting financial uncertainty could cause economic downturns. In this paper, we find non-synchronized...

This paper introduces a Bayesian MCMC method, referred to as a marginalized mixture sampler, for state space models whose disturbances follow stochastic volatility processes. The marginalized mixture sampler is based on a mixture-normal approximation of the log-2 distribution, but it is...

We offer improved dating of U.S. business cycle turning points both retrospectively and in real time. This improvement is made possible by augmenting existing Markov-switching dynamic factor models with additional information on stock return volatility. The model significantly improves...

This paper investigates how financial conditions and macroeconomic uncertainty jointly affect macroeconomic tail risks. We first document that tight financial conditions decrease all conditional quantiles of future output growth in the near term, while high macroeconomic uncertainty stretches...