摘要：The paper treats the issue of the decreasing volatility of the U.S. economy which has been observed since the mid-1980s. As a measure of volatility the residual variance of a composite economic indicator is used. This indicator is constructed as a common dynamic factor with Markov switching and hence it incorporates both the comovements of different macroeconomic variables and the asymmetry between the contractions and expansions. Two additional regimes are included capturing the secular shift in the volatility. Furthermore, the mixed frequency is allowed for, permitting the use both of monthly and quarterly component series. The low mean regime probabilities comply to the NBER business cycle dating, while the low variance regime probabilities indicate the beginning of 1984 as a possible date of the structural break in volatility.
