problems with my website speed

Hi people!
I need some help or an idea from somebody who is pro and has a wide knowledge about the websites. I have problems with the speed of my websites because during a day are some moments that my websites are really really slow. And this is due to my host because i have a shared host.
For this I thought to pass to a VPS host, but I am worried about something.
I live in Balkan and my users are from Europe. I have hosted my websites in USA. Does the distance between the host and the user effect on the website speed? Would it be better for me to take the host in Europe?

Please, serious comments.

Thank you