We leverage a data rich environment to construct and study a measure of macroeconomic uncertainty for the Korean economy. We provide several stylized facts about uncertainty in Korea from 1991M10–2016M5. We compare and contrast this measure of uncertainty with two other popular uncertainty proxies, financial and policy uncertainty proxies, as well as the U.S. measure constructed by Jurado et al. (2015). We find that neither financial nor policy uncertainty proxies capture economy-wide uncertainty. Unlike our measure or financial uncertainty, policy uncertainty does not have much effect on real variables in Korea.