Despite the enormous reach and influence of the literature on economic and economic policy uncertainty, one surprisingly under-researched topic has been the forecasting performance of economic uncertainty measures. We evaluate the ability of seven popular measures of uncertainty to forecast...

We document significant upward bias in estimates of the transmission of uncertainty shocks to real activity found in prominent studies of uncertainty's macroeconomic transmission. We show this bias is due to predictability in these uncertainty shocks. The predictability stems not from the use of...