This study examines the correlation of economic policy uncertainty (EPU) across countries and regions. Using correlation analysis, the findings reveal that some countries have a positive EPU correlation while other countries have a negative EPU correlation. The economic policy uncertainty index is positively correlated and jointly significant for EU member-countries. There is evidence of cross-regional positive correlation. Also, the EPU correlations are significant for Europe, non-EU countries and the region of the Americas during the global financial crisis, which suggest that financial crises are a contributory factor that drives the correlation of economic policy uncertainty in certain regions.