International spillovers of policy uncertainty

•We estimate spillovers of policy uncertainty among six developed countries.•Spillovers account for a high share of the dynamics of policy uncertainty.•The US and the UK were important transmitters of policy uncertainty shocks.

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 US and UK are responsible for a large fraction of the spillovers since the financial crisis, while the remaining countries are all net receivers of policy uncertainty shocks during and after this period.