The following excerpt is from U.S. v. Malizia, 503 F.2d 578 (2nd Cir. 1975):
We have, under cautionary instructions, upheld the testimony of a witness explaining his own prior failure to testify for the Government or his prior contradictory or inconsistent statements because of fear of threatened retaliation. United States v. Place, 263 F.2d 627 (2d Cir.), cert. denied, 360, U.S. 920, 79 S.Ct. 1439, 3 L.Ed.2d 1535 (1959); United States v. Cirillo, 468 F.2d 1233 (2d Cir. 1972), cert. denied, 410 U.S. 989, 93 S.Ct. 1501, 36 L.Ed.2d 188 (1973); United States v. Berger, 433 F.2d 680 (2d Cir. 1970), cert. denied, 401 U.S. 962, 91 S.Ct. 970, 28 L.Ed.2d 246 (1971); United States v. Scandifia, 390 F.2d 244 (2d Cir. 1968), vacated on other grounds, 394 U.S. 310, 89 S.Ct. 1163, 22 L.Ed.2d 297 (1969). While these cases permit an impeached witness to explain the circumstances concerning his own state of mind, they do not extend to the explanation for the failure of a presumably favorable witness to testify. A much more serious risk of prejudice exists in such a case because the witness is not present to be cross-examined, even though the testimony concerning his state of mind falls within the hearsay exception.
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