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Rather than estimating models at the same common low frequency, we use recently developed econometric models, which allow us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to such shocks. When looking at detailed investment subcategories, our estimates suggest that the most irreversible investment projects are the most affected by uncertainty shocks. We also find that the responses of macroeconomic variables to uncertainty shocks are relatively similar across single\u2010frequency and mixed\u2010frequency data models, suggesting that the temporal aggregation bias is not acute in this context.<\/jats:p>","DOI":"10.1002\/jae.2624","type":"journal-article","created":{"date-parts":[[2018,5,2]],"date-time":"2018-05-02T12:48:03Z","timestamp":1525265283000},"page":"662-679","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":39,"title":["What are the macroeconomic effects of high\u2010frequency uncertainty shocks?"],"prefix":"10.1002","volume":"33","author":[{"given":"Laurent","family":"Ferrara","sequence":"first","affiliation":[{"name":"Banque de France, International Macroeconomics Division and EconomiX\u2010CNRS Universit\u00e9 Paris Nanterre  Paris France"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Pierre","family":"Gu\u00e9rin","sequence":"additional","affiliation":[{"name":"International Economic Analysis Department Bank of Canada  Ottawa, Ontario Canada"},{"name":"Economics Department OECD  Paris France"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2018,5,2]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2545"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.iref.2015.02.002"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1257\/mac.5.2.217"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2012.690675"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/qje\/qjw024"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1885568"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6248"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1257\/jep.28.2.153"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-937X.2007.00426.x"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2014.07.006"},{"key":"e_1_2_10_12_1","unstructured":"Casarin R. 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