fxtools {fxregime} | R Documentation

## Various Tools for Exchange Rate Regime Classification

### Description

Tools for exchange rate regime classification, currently under development.

### Usage

      fxpegtest(model, peg = NULL, ...)

### Arguments

`model` | an object of class `"fxlm"` as returned by `fxlm`.
`peg` | character with the name of the currency the target currency is pegged to. By default this is chosen to be the currency with the maximal absolute coefficient.
`...` | arguments passed to `linear.hypothesis`.

### Details

These tools should help to automate exchange rate regime classification.

The first building block is the function `fxpegtest`, a simple convenience interface to `linear.hypothesis`. It assess the null hypothesis that only the `peg` currency has coefficient `1` and all other currencies have coefficient `0`.

### References

Shah A., Zeileis A., Patnaik I. (2005), What is the New Chinese Currency Regime?, Report 23, Department of Statistics and Mathematics, Wirtschaftsuniversitaet Wien, Research Report Series, November 2005.

Zeileis A., Shah A., Patnaik I. (2008), Testing, Monitoring, and Dating Structural Changes in Maximum Likelihood Models, Report 70, Department of Statistics and Mathematics, Wirtschaftsuniversitaet Wien, Research Report Series, August 2008.

### See Also

`fxlm`, `fxregimes`

### Examples

    ## load package and data
    library("fxregime")
    data("FXRatesCHF", package = "fxregime")

    ## compute returns for CNY (and explanatory currencies)
    ## after abolishing fixed USD regime until end of 2005
    cny <- fxreturns("CNY", frequency = "daily",
      start = as.Date("2005-07-25"), end = as.Date("2005-12-31"),
      other = c("USD", "JPY", "EUR", "GBP"))

    ## estimate full-sample exchange rate regression model
    fm <- fxlm(CNY ~ USD + JPY + EUR + GBP, data = cny)

    ## check for plain USD peg:
    if(require("car")) fxpegtest(fm)
    ## no deviation from a plain USD peg

[Package fxregime version 0.3-1 Index]