We study the effects of expectation shocks on aggregate private consumption and investment in Chile. We use microdata from the business climate survey IMCE and the consumer confidence survey IPEC to construct measures of confidence and uncertainty. A simple empirical analysis shows that these measures are useful for predicting activity up to six quarters ahead. Then, using an open-economy SVAR approach, we identify confidence (first moment) and uncertainty (second moment) shocks. After a confidence shock, investment does not react on impact, but exhibits a positive and persistent response in the 12 quarters following the shock. Private consumption shows a positive response on impact and returns to its trend level 8 quarters later. Uncertainty shocks generate a rapid slow-down and bounce-back in investment. Private consumption, instead, shows a weak negative response in the medium term.