... ( GFC ), the COVID-19 Great Lockdown and the Russia–Ukraine war ( RUW ). Design/methodology/approach This study uses the recently developed TVP-VAR (time-varying parameter vector autoregressive) connectedness approach to analyze the dynamic connectedness of exchange rates and oil prices in India...

..., it is critical to conduct a thorough examination of the repercussions of Economic Policy Uncertainty ( EPU ) shocks on equity markets, considering the recent crisis. Design/methodology/approach The authors have applied an asymmetric time-varying parameter vector autoregression (TVP-VAR) model to assess...

... 2024 Emerald Publishing Limited Licensed re-use rights only Geopolitical risk Investor sentiment Ukraine war TVP-VAR Europe The issue of geopolitical risk has received considerable critical attention due to a rise in geopolitical tensions worldwide. The detrimental impact...

.... Design/methodology/approach To comprehend the cross-category/cross-country evolution of uncertainty connectedness, the authors use the conditional connectedness approach. By using an inclusive network, this strategy lessens the bias caused by omitted variables. The TVP-VAR method is advantageous...

... and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks. Findings – The results seem to suggest that at least two regimes exist...