title: Do Geopolitical Shocks Drive Currency Volatility? New Evidence from a TVP-VAR Framework
abstract: Exchange rate dynamics in OECD economies have been increasingly shaped by geopolitical tensions and systemic crises. Between 2010 and 2025, a sequence of major events including the European sovereign debt crisis, the COVID-19 pandemic, and the Russia–Ukraine conflict has amplified uncertainty and volatility in global financial markets. Using a Bayesian Time-Varying Parameter Vector Autoregression (TVP-VAR) model, this analysis investigates how geopolitical shocks are transmitted to exchange rate
journal: Journal of risk and financial management