This study assesses the informational usefulness of several uncertainty metrics in predicting the monetary policy and actual economic activity of Tunisia. We use a Bayesian time-varying vector autoregressive (VAR) model to identify uncertainty shocks sequentially. We complement the analysis with the use of Local Projections (LPs), a recently flexible and simple method that accommodates the effect of an exogenous intervention on policy outcomes. The findings suggest that shocks to global and spillover uncertainty are important in triggering economic fluctuations and elucidating the dynamics of consumer prices. The irreversibility theory or the “precaution” effect is tested in a Vector Error Correction Model (VECM). The money market rate impacts industrial production and consumer prices differently during high versus low uncertainty, depending on the uncertainty variable. The effects can be small, insignificant, or significantly negative, indicating that conventional monetary policy may be ineffective or less influential. The “wait and see” strategy adopted by economic agents implies that they do not take timely actions until additional pieces of information (especially precise) arrive. While this could not be the sole explanation of our finding, it conveys the importance of dealing with uncertainty in decision-making. Importantly, we think that it is maybe time for the central bank to switch to unconventional monetary policy instruments as a complement to the interest rate for better flexibility. Our work provides a comprehensive and clear picture of the Tunisian economy and a focal guide for the central bank’s future practices to achieve macroeconomic objectives.