Macroeconomic policy increasingly requires assessments of risk rather than point forecasts alone. This paper develops a framework to compute impulse responses for scenario probabilities and the full predictive distribution of macroeconomic outcomes. The approach combines a regime-dependent mixture VAR with endogenous state probabilities and heteroskedastic shock identification, complemented by sparse sign and narrative restrictions. Applied to the euro area and U.S., the framework addresses a central policy question following the outbreak of the 2026 Iran war: do geopolitical shocks imply a return to the risk profile observed after Russia’s invasion of Ukraine, or is this time different? Results show that shocks differ not only in their effects on expected outcomes, but also in how they reshape scenario probabilities, tail risks, and transitions into high-volatility states.
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