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This study attempts to investigate the asymmetric impacts of oil price and component shocks on categorical economic policy uncertainties (EPUs) in China. A novel multiple thresholds nonlinear autoregressive distributed lagged model (ARDL) was employed to capture the asymmetric impacts of oil price and shocks on EPUs in the short and long run. Additionally, the influence of the Brent oil price on integral EPU was also examined. We find that asymmetric impact is more remarkable in the long run in China. Among the four categorical EPUs, trade policy uncertainty is the most notable in most cases. Based on the results, some implications are provided to policymakers and investors.