Take Baker’s Economic Policy Uncertainty Index, and use the generalized impulse response function method and variance decomposition method based on the vector autoregressive model to empirically analyze the impact of economic policy uncertainty on the price level and its classified price index. A systematic and in-depth study of the impact of economic policy uncertainty on UK stock market not only can effectively explain the characteristics of the “policy market” and “information market”, yet in addition significantly affects improving the proficiency of national decision-making, fortifying business sector oversight and settling the advancement of the financial exchange. From the perspective of the impulse response function, the exchange rate, CPI, and price indices of all categories are negatively affected by the uncertainty of economic policies. By constructing the VAR model, the impact of economic policy uncertainty on the stock market is studied from the perspective of yield and volatility. Starting from the mean spillover test, the VAR model is estimated, and the Granger causality test, impulse response, and variance are used. By means of decomposition and other supplementary arguments, it is concluded that economic policy uncertainty does not have an average spillover to the stock market, and in turn, stock index returns are Granger reasons for changes in the EPU index.