Note: Subjective interest rate uncertainty measure for the US refers to the 3-month yield, at a 3-month forecasting horizon. MPU denotes the Baker et al. (2016) index of monetary policy uncertainty based on news coverage. Financial and Macro uncertainty refer to Jurado et al. (2015)’s measures. Financial uncertainty is measured as the common uncertainty stemming from 147 monthly financial indicators. Macro uncertainty is measured as the common uncertainty stemming from 134 macroeconomic time series. All measures are standardized.