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The purpose of this study is to investigate the time-varying behavior and the dynamic linkages of Indonesian exchange rate, and stock, oil, and natural gas prices over the period from 2005 to 2015. To capture the dynamics of long-run relationships, we use the Gregory and Hansen (1996) cointegration test with structural break and a recursive cointegration test to examine the time-varying nature of convergence here. The main findings are as follows. First, the result of the Gregory and Hansendoi:10.18178/ijtef.2016.7.4.512 fatcat:26z52zzgpbgdtfzjnl7mvuqwjm