We provide empirical evidence that changes in the level of the freedom of the press have a substantial impact on important risk measures. Using data from the Freedom of the Press annual report to capture how freely the news media can operate, we investigate how changes in the freedom of the press impact financial markets’ volatility and the economic policy uncertainty index.Using data from eight of the OECD countries and the BRIC countries, we present empirical evidence that the effect of the freedom of the press shocks on the economic policy uncertainty index and on the financial markets’ volatility is quite distinct, providing further support that both measures of risk capture different dimensions of uncertainty. In addition, we show that the freedom of the press deteriorates during economic recessions relative to economic expansions.