We use the indexes of economic policy uncertainty (EPU) developed by Baker et al.
(2015) for Canada and seven (China, France, Germany, Japan, Russia, United Kingdom,
and United States) other countries to study international uncertainty links by means
of a Bayesian Additive Regression Trees (BART) algorithm. Using partial-dependence
plots, relative-importance measures, and permutation tests, we shed light on how EPU in
Canada is linked to EPU in seven other countries.