Are policy uncertainty indices converging across countries? Evidence from club convergence

Growing concern surrounds the uncertainty arising from economic and energy policy changes across countries, and managing it remains vital for stability and sustainable development. We therefore analyse the convergence pattern of the energy-related uncertainty index (EUI) and the economic policy uncertainty index (EPU) using several convergence approaches. Beta convergence reveals a catch-up effect, yet sigma convergence shows that dispersion across countries remains stagnant for both measures. We reject full-sample convergence for both indices, which motivates a club convergence approach. EUI forms two clubs, whereas EPU forms five clubs plus one non-converging group. Connectedness analysis indicates that these clubs are economically meaningful rather than purely statistical. Overall connectedness attains 90.55 per cent for EUI, and 87.49 per cent for EPU; pairwise connectedness is greater within clubs than between them, and the more strongly connected index is also the one that forms fewer clubs. Transitions toward long-run equilibrium are therefore heterogeneous, and uncertainty trends differ across countries in ways that call for differentiated management. Our results are robust to global shocks and provide a descriptive account of the long-term evolution of these uncertainties. Policy design should reflect these findings when seeking to control and manage uncertainty.