R. Bachmann, S. Elstner, and E. Sims, Uncertainty and Economic Activity: Evidence from Business Survey Data, American Economic Journal: Macroeconomics, vol.5, issue.2, pp.217-249, 2013.
DOI : 10.1257/mac.5.2.217
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.170.9630

S. R. Baker, N. Bloom, and S. J. Davis, Measuring Economic Policy Uncertainty, The Quarterly Journal of Economics, vol.131, issue.4, pp.1593-1636, 2016.
DOI : 10.1093/qje/qjw024
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.252.7523

T. G. Bali and H. Zhou, Abstract, Journal of Financial and Quantitative Analysis, vol.83, issue.03, pp.707-735, 2016.
DOI : 10.1111/j.1540-6261.1992.tb04398.x

K. Barhoumi, O. Darn, and L. Ferrara, Dynamic factor models: A review of the literature, Journal of Business Cycle Measurement and Analysis, vol.8, pp.73-107, 2013.
URL : https://hal.archives-ouvertes.fr/hal-01385974

N. Bloom, The impact of uncertainty shocks, Econometrica, vol.77, pp.623-685, 2009.
DOI : 10.3386/w13385

N. Bloom, Fluctuations in Uncertainty, Journal of Economic Perspectives, vol.28, issue.2, pp.153-76, 2014.
DOI : 10.1257/jep.28.2.153

N. Bloom, S. Bond, and J. Van-reenen, Uncertainty and Investment Dynamics, Review of Economic Studies, vol.74, issue.2, pp.391-415, 2007.
DOI : 10.1111/j.1467-937X.2007.00426.x
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.131.5975

N. Bloom, J. Fernandez-villaverde, and M. Schneider, The macroeconomics of uncertainty and volatility, Journal of Economic Literature, 2014.

B. Born, S. Breuer, and S. Elstner, Uncertainty and the Great Recession, Working Paper, 2014.

J. Brogaard and A. Detzel, The Asset-Pricing Implications of Government Economic Policy Uncertainty, Management Science, vol.61, issue.1, pp.3-18, 2015.
DOI : 10.1287/mnsc.2014.2044

G. Caggiano, E. Castelnuovo, and N. Groshenny, Uncertainty shocks and unemployment dynamics in U.S. recessions, Journal of Monetary Economics, vol.67, pp.78-92, 2013.
DOI : 10.1016/j.jmoneco.2014.07.006

D. Caldara, C. Fuentes-albero, S. Gilchrist, and E. Zakrajsek, The macroeconomic impact of financial and uncertainty shocks, European Economic Review, vol.88, pp.185-207, 2016.
DOI : 10.1016/j.euroecorev.2016.02.020

M. Chauvet, Z. Senyuz, and E. Yoldas, What does financial volatility tell us about macroeconomic fluctuations?, Journal of Economic Dynamics and Control, vol.52, pp.340-360, 2015.
DOI : 10.1016/j.jedc.2015.01.002

L. J. Christiano, R. Motto, and M. Massimo-rostagno, Risk Shocks, American Economic Review, vol.104, issue.1, pp.27-65, 2014.
DOI : 10.1257/aer.104.1.27

V. Colombo, Economic policy uncertainty in the US: Does it matter for the Euro area?, Economics Letters, vol.121, issue.1, pp.39-42, 2013.
DOI : 10.1016/j.econlet.2013.06.024

S. Denis and P. Kannan, The Impact of Uncertainty Shocks on the UK Economy, IMF Working Papers, vol.13, issue.66, 2013.
DOI : 10.5089/9781475552690.001

A. Dixit, Entry and Exit Decisions under Uncertainty, Journal of Political Economy, vol.97, issue.3, pp.620-638, 1989.
DOI : 10.1086/261619

C. Doz, D. Giannone, and L. Reichlin, A two-step estimator for large approximate dynamic factor models based on Kalman filtering, Journal of Econometrics, vol.164, issue.1, pp.188-205, 2011.
DOI : 10.1016/j.jeconom.2011.02.012
URL : https://hal.archives-ouvertes.fr/hal-00844811

C. Doz, D. Giannone, and L. Reichlin, A Quasi?Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models, Review of Economics and Statistics, vol.97, issue.4, pp.1014-1024, 2012.
DOI : 10.2307/1912526
URL : https://hal.archives-ouvertes.fr/hal-00638440

J. Fernandez-villaverde, P. Guerron-quintana, K. Kuester, and J. Rubio-ramirez, Fiscal Volatility Shocks and Economic Activity, American Economic Review, vol.105, issue.11, pp.3352-3384, 2015.
DOI : 10.1257/aer.20121236

D. Giannone, L. Reichlin, and D. Small, Nowcasting: The real-time informational content of macroeconomic data, Journal of Monetary Economics, vol.55, issue.4, pp.665-676, 2008.
DOI : 10.1016/j.jmoneco.2008.05.010

A. Haddow, C. Hare, J. Hooley, and T. Shakir, Macroeconomic uncertainty: What is it, how can we measure it and why does it matter?, Bank of England Quarterly Bulletin, vol.53, pp.100-109, 2013.

S. R. Henzel and M. Rengel, DIMENSIONS OF MACROECONOMIC UNCERTAINTY: A COMMON FACTOR ANALYSIS, Economic Inquiry, vol.95, issue.3, 2017.
DOI : 10.1086/261473

K. Jurado, S. C. Ludvingson, and S. Ng, Measuring Uncertainty, American Economic Review, vol.105, issue.3, pp.1177-1216, 2015.
DOI : 10.1257/aer.20131193

F. Knight, From Risk, Uncertainty, and Profit, 1921.
DOI : 10.1017/CBO9780511817410.005

S. Leduc and Z. Liu, Uncertainty shocks are aggregate demand shocks, Journal of Monetary Economics, vol.82, pp.20-35, 2016.
DOI : 10.1016/j.jmoneco.2016.07.002
URL : https://economicdynamics.org/meetpapers/2013/paper_270.pdf

G. C. Lim and V. H. Nguyen, ALTERNATIVE WEIGHTING APPROACHES TO COMPUTING INDEXES OF ECONOMIC ACTIVITY, Journal of Economic Surveys, vol.20, issue.2, pp.287-300, 2015.
DOI : 10.1198/073500102317351921

S. C. Ludvingson, S. Ma, and S. Ng, Uncertainty and business cycles: Exogenous impulse or endogenous response? Working paper No 21803, 2015.

G. Nodari, Financial regulation policy uncertainty and credit spreads in the US, Journal of Macroeconomics, vol.41, pp.122-132, 2014.
DOI : 10.1016/j.jmacro.2014.05.006

A. Orlik and L. Veldkamp, Understanding uncertainty shocks and the role of black swans. Discussion Paper Series No 10147, 2014.

B. Rossi and T. Sekhposyan, Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions, American Economic Review, vol.105, issue.5, pp.650-655, 2015.
DOI : 10.1257/aer.p20151124
URL : http://repositori.upf.edu/bitstream/10230/23389/1/1477.pdf

C. Scotti, Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises, Journal of Monetary Economics, vol.82, pp.1-19, 2016.
DOI : 10.1016/j.jmoneco.2016.06.002

J. H. Stock and M. W. Watson, Macroeconomic Forecasting Using Diffusion Indexes, Journal of Business & Economic Statistics, vol.20, issue.2, pp.147-162, 2002.
DOI : 10.1198/073500102317351921
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.471.6305

R. E. Whaley, Understanding the VIX, The Journal of Portfolio Management, vol.35, issue.3, pp.98-105, 2009.
DOI : 10.3905/JPM.2009.35.3.098

H. Zhou, Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty. Working Paper, 2009.
DOI : 10.2139/ssrn.1400049