Real interest rates are declining. Measured economic policy uncertainty is rising.
Figure 1: Ten year constant maturity TIPS, % (blue, left scale), Economic Policy Uncertainty (red, right scale). NBER defined recession dates shaded gray, assumes continues through July., Source: Treasury, policyuncertainty.com, accessed 20 July 2020, NBER.
What about the stock market (and the VIX)? This paper suggests that we interpret EPU increases as more associated with Main Street economic uncertainty than Wall Street (represented by VIX) [ungated version here]. The real rate decline is consistent with a belief in more pronounced economic deceleration.