This study examines the impact of North Korea-related risks, an exogenous variable, on the domestic economy using the TVP-VAR model with exogenous variables. North Korea-related risk is using the Korea Geopolitical Risk Index, developed by Caldara and Iacoviello (2022), based on foreign news articles. The empirical analysis reveals that an increase in North Korea-related risks leads to rises in the call rate, won/dollar exchange rate, producer prices, and consumer prices, while industrial production declines. The negative impact on the domestic economy caused by the increasing threat from North Korea is not limited to specific periods but consistently persists at a certain level. Recently, the scope and intensity of these negative effects have been showing a trend of expansion. Furthermore, since June 2021, the increase in North Korea-related risks has caused a more significant reduction in manufacturing production for small and medium-sized enterprises (SMEs) than for large enterprises. In addition, using the Geopolitical Risk Index for South Korea developed by Jung, Lee, and Lee (2021) based on domestic news articles alongside the index by Caldara and Iacoviello (2022), it is observed that the volatility of North Korean risk calculated using foreign information is greater than that derived from domestic sources. This suggests that domestic responses to North Korean threats are somewhat less sensitive compared to those abroad. Finally, the increase in North Korea-related risks initially exerts negative impacts on domestic financial markets, followed by negative impacts on real markets such as industrial production.