This paper attempts to examine the impact of energy price shocks, monetary policy, and geopolitical events on inflation in selected European countries across different periods of time by applying a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model with stochastic volatility. The analysis displays the diverse impact of gas prices on the Consumer Price Index (CPI), a gauge for inflation, in the short, medium, and long term. Moreover, the findings show that oil price shocks with deflationary trends during COVID-19 have inflationary consequences. The results also show that the European Central Bank's response to the pandemic-induced economic downturn has affected long-term inflation trends. Furthermore, significant geopolitical risks that arose from the Russia-Ukraine war amplified inflationary trends. The findings contribute valuable insights into the multifaceted dynamics shaping inflation in European economies.