The article explores the effects of uncertainty shocks on the real and financial economy through three essays. The first essay compares two uncertainty indices and finds that uncertainty shocks lead to declines in production and employment. The second essay analyzes inflation uncertainty in the UK and euro area, showing a positive correlation in deflationary pressures between the regions. The third essay examines the relationship between gross capital flow and uncertainty, finding significant connections between global, contagion, and domestic factors in predicting capital flows.