  In this paper, we are interested to focus on the critical periods in the
economy which are characterized by large fluctuations in macroeconomic
indicators.
  To capture unusual and large fluctuations of inflation and unemployment, we
concentrate on the non-Gaussianity of their distributions.
  To this aim, by using the coupled multifractal approach, we analyze US data
for a period of 70 years from 1948 until 2018 and measure the non-Gausianity of
the distributions. Then, we investigate how the non-Gaussianity of the
variables affects the coupling structure of them. By applying the multifractal
method, one can see that the non-Gaussianity depends on the scales. While the
non-Gaussianity of unemployment is noticeable only for periods smaller than 1
year and for longer periods tends to Gaussian behavior, the non-Gaussianities
of inflation persist for all time scales. Also, it is observed that the
coupling structure of these variables tends to a Gaussian behavior after $2$
years.
