This article proposes first a univariate Markov-Switching Model of US GNP,decomposed into unobservable permanent and transitory components. Household consumption is then introduced into the model. The addition of this variable is interesting for two reasons: test of the permanent income theory through a direct approach,better detection of some recessions, notably those related to a deficit in global demand. Following this, an RBC model with indivisible labour, in which occur two types of shocks (permanent and transitory) governed by a first order Markov process, will be directly confronted with its natural empirical counterpart:UC-MS bivariate model.