Cross-category and cross-country spillovers of economic policy uncertainty: Evidence from the US and China

•We study the cross-category and cross-country EPU spillovers using both time and frequency spillover index method.•The cross-category EPU spillovers in China are higher than that in the US.•In the short-term, the EPU spillovers between China and the US are mianly through the monetary policy channel.•In the long-term, the EPU spillovers between China and the US are mianly through the trade policy channel.