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 the relationship between permanent and transitory components of U.S. recessions in an empirical model allowing for business cycle asymmetry. Using a common stochastic trend representation for real GNP and consumption, we divide real GNP into permanent and transitory...

Recessions and subsequent recoveries are frequently classified as “L-shaped” or “U-shaped,” with output losses in the former being permanent and losses in the latter at least partially made up by higher than average growth during the recovery. We estimate the probability of a U-shaped...

Recession recoveries may be classified as U-shaped, in which the economy eventually returns to the pre-recession growth path, or may be classified as L-shaped in which the economy returns to the previous slope but never recovers to the level of the pre-recession growth path. We show that high...