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We combine selected quantiles of the estimated conditional distribution to produce novel measures of uncertainty and skewness. Embedding these measures in a VAR framework, we show that unexpected changes in uncertainty are associated with an increase in (left) skewness and a downturn in real activity. Business cycle effects are significantly downplayed if we consider a quarterly\u2010only quantile regression model. We find the endogenous response of skewness to substantially amplify the recessionary effects of uncertainty shocks. 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