Dynamic Connectedness of Geopolitical Risk, Oil, Gold, the U.S. Dollar, and the Thai Stock Market: Evidence from a Bayesian TVP-VAR Approach

This study investigates the dynamic transmission of geopolitical risk across the Brent crude oil market, gold market, U.S. Dollar Index (DXY), and the Thai stock market using a Bayesian Time-Varying Coefficient Vector Autoregressive (Bayesian TVC-VAR) model. Monthly data covering the period from January 1990 to December 2025 are employed to capture the evolving effects of major geopolitical events, including the Gulf War, the Asian Financial Crisis, the September 11 terrorist attacks, the Global Financial Crisis, the COVID-19 pandemic, and the Russia–Ukraine conflict. The analysis integrates Time-Varying Impulse Response Functions (TVIRFs), Generalized Forecast Error Variance Decomposition (GFEVD), the Total Connectedness Index (TCI), directional connectedness measures (TO, FROM, NET, and NPDC), and network analysis to examine both the magnitude and direction of shock transmission.The empirical findings indicate that geopolitical risk generates substantial time-varying spillover effects across commodity, foreign exchange, and equity markets. The intensity and direction of connectedness vary considerably across different geopolitical regimes, with oil and the U.S. dollar emerging as dominant transmitters of shocks during periods of heightened uncertainty, whereas gold primarily serves as a safe-haven asset that absorbs market disturbances. The Thai stock market exhibits greater vulnerability to external shocks during global crises, reflecting its high degree of integration with international financial markets. The network analysis further reveals that the topology of financial connectedness changes significantly during major geopolitical events, highlighting shifts in dominant transmission channels over time. This study contributes to the literature by providing a comprehensive Bayesian time-varying connectedness framework that simultaneously evaluates geopolitical risk, commodity markets, foreign exchange, and an emerging stock market. The findings offer valuable implications for investors, portfolio managers, central banks, and policymakers seeking to improve portfolio diversification, risk management, and financial stability under geopolitical uncertainty.