Dynamic Connectedness of Geopolitical Risk, Brent Crude Oil Price Changes, Gold Returns, the U.S. Dollar Index Returns, and the Thai Stock Market Returns: Evidence from a Bayesian TVC-VAR Approach

This study examines the dynamic transmission of geopolitical risk across Brent crude oil, gold, the U.S. Dollar Index, and the Thai stock market using a Bayesian time-varying coefficient vector autoregressive (TVC-VAR) framework. Using monthly data from January 1990 to December 2025, the analysis combines time-varying impulse responses, generalized forecast error variance decomposition, dynamic connectedness measures, and network analysis. The results show substantial time variation in spillover intensity and direction. On average, Brent crude oil is the strongest net transmitter, gold has a smaller positive net position, and the U.S. Dollar Index and the Thai stock market are net receivers. Episode-specific point estimates indicate changes in transmitter-receiver roles and bilateral channels, but bootstrap sensitivity analysis shows that several apparent role changes are not statistically distinguishable once uncertainty is considered. The evidence therefore supports a dynamic, reconfigurable connectedness structure while cautioning against causal, safe-haven, or portfolio-performance interpretations that are not directly tested in this study. The findings are relevant to financial-risk monitoring and macro-financial surveillance under changing geopolitical conditions.