The thesis presents two essays investigating the empirical relationship between investment and uncertainty . Both essays employ state-of-the -art mathemat ical and statistical techniques to investigate the dynamic relationship between investment and uncertainty . In the first essay, novel statistical methods are used to identify a cyclical relationship between investment and uncertainty, ultimately finding that (i) uncertainty is negatively related to investment and (ii) the 2008 financial crisis resulted in considerable changes to their relationship. The second essay, coauthored with Leandro M. Magnusson, builds on the first essay by studying the time variations in investment dynamics under uncertainty. We show that when such variations are taken into account, it is possible to reconcile the theoretical debate about the sign of the relationship between investment and uncertainty. Furthermore, we also find that the effects of uncertainty shocks on the economy have intensified since the Great Recession. which reflects on the slow economic recovery since then.