© 2015 Elsevier B.V. I develop methods to analyze multivariate Markov-switching models. Formulas for the evolution of first and second moments are derived and then used to characterize expectations, uncertainty, impulse responses, sources of uncertainty, and welfare implications of regime changes in general equilibrium models. The methods can be used to capture the link between uncertainty and the state of the economy. Campbell's present value decomposition is generalized to allow for parameter instability. Taking into account regime changes is shown to be important for expectations, welfare, and uncertainty. All results are derived analytically and are therefore suitable for structural estimation.