International Spillovers of Policy Uncertainty

Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis. The United States and United Kingdom are responsible for a large fraction of the spillovers since the financial crisis, while Canada and the remaining countries are all net receivers of policy uncertainty shocks during and after this period.