Using Bayesian tests for a structural break at an unknown break date, we search for a volatility reduction within the post-war sample for the growth rates of U.S. aggregate and disaggregate real GDP. We find that the growth rate of aggregate real GDP has been less volatile since the early...

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...