This study investigates the intricate dynamics between the Consumer Price Index (CPI) and three critical determinants—Global Price of Energy (GPE), Geopolitical Risk (GPR), and Climate Policy Uncertainty (CPU)—across Europe, the USA, and China from February 1992 to April 2023. Using advanced methodologies, including time-varying Granger causality tests and a connectedness approach, we reveal that CPI consistently acts as a net receiver of shocks. The Total Connectedness Index (TCI) demonstrates a persistent and evolving mutual influence among these variables. Geopolitical Risk is identified as a constant net transmitter of shocks, while the role of Global Price of Energy evolves over time, and Climate Policy Uncertainty shows variable interactions with CPI. Our pairwise directional connectedness analysis highlights GPR's dominant impact on CPI and unveils distinct patterns in the relationships between CPI and the other determinants. This comprehensive approach provides a detailed understanding of the temporal and directional dynamics of inflation, offering valuable insights for policymakers and scholars. These findings underscore the need for nuanced economic strategies to address inflationary pressures and inform future research on the complex interplay of global economic factors.