The prevailing exchange rate and its volatility has been always an important issue in an open economy and freely floating exchange rate system, such as in Indonesia. In this system, the exchange rate is allowed to fluctuate based on the interaction between demand for and supply of foreign...

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

In contrast with the large literature that studies the interactions between the oil and the foreign exchange (FX) markets at the return level, this paper examines their relationship at the risk level. We employ the multivariate stochastic volatility (MSV) and the multivariate conditional...