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This approach allows us to simultaneously address two major questions in the empirical literature: Is uncertainty a cause or effect of decline in economic activity? Does the relationship between uncertainty and economic activity change across macroeconomic regimes? Results based on a small\u2010scale vector autoregression with US monthly data suggest that (i) uncertainty is an exogenous source of decline of economic activity, and (ii) the effects of uncertainty shocks amplify in periods of economic and financial turmoil.<\/jats:p>","DOI":"10.1002\/jae.2672","type":"journal-article","created":{"date-parts":[[2018,11,24]],"date-time":"2018-11-24T16:51:27Z","timestamp":1543078287000},"page":"437-455","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":96,"title":["Uncertainty across volatility regimes"],"prefix":"10.1002","volume":"34","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3000-9885","authenticated-orcid":false,"given":"Giovanni","family":"Angelini","sequence":"first","affiliation":[{"name":"Department of Economics University Ca' Foscari  Venice Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Emanuele","family":"Bacchiocchi","sequence":"additional","affiliation":[{"name":"Department of Economics, Management and Quantitative Methods University of Milan  Milan Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Giovanni","family":"Caggiano","sequence":"additional","affiliation":[{"name":"Department of Economics Monash University  Caulfield East Victoria Australia"},{"name":"Department of Economics and Management University of Padua  Padua Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Luca","family":"Fanelli","sequence":"additional","affiliation":[{"name":"Department of Economics University of Bologna  Bologna Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2018,12,26]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2555"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2018.05.001"},{"key":"e_1_2_6_4_1","doi-asserted-by":"crossref","unstructured":"Alfaro I. 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