Cross-country determinants of economic policy uncertainty spillovers

•Determinants of cross-country economic policy uncertainty spillovers are explored.•Bilateral trade plays a highly significant role in explaining the EPU spillovers.•Countries having higher vulnerability experience higher EPU shocks.

This study explores the determinants of cross-country economic policy uncertainty (EPU) spillovers. We find that bilateral factors such as trade and common language play a highly significant role in explaining the magnitude of EPU spillovers. Furthermore, the magnitude of EPU spillovers is higher for countries having higher vulnerability in terms of fiscal, trade, or financial liability imbalances.