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This paper is an empirical attempt to assess the relations among business cycles, financial cycles, and economic uncertainty for India during the period January 2003 to January 2020. Empirical findings from the vector autoregression model suggest a bidirectional causal relationship between the real and financial markets. Further, the aforementioned markets are found to influence the uncertainty index in India. We employ the Granger causality test in the frequency domain which exhibits the dynamic nature of causal relations, while our novel fractal connectivity approach reveals the long‐run correlation structure among all three variables.