fxtools               package:fxregime               R Documentation

_V_a_r_i_o_u_s _T_o_o_l_s _f_o_r _E_x_c_h_a_n_g_e _R_a_t_e _R_e_g_i_m_e _C_l_a_s_s_i_f_i_c_a_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     Tools for exchange rate regime classification, currently under
     development.

_U_s_a_g_e:

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

_A_r_g_u_m_e_n_t_s:

   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'.

_D_e_t_a_i_l_s:

     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'.

_R_e_f_e_r_e_n_c_e_s:

     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.

_S_e_e _A_l_s_o:

     'fxlm', 'fxregimes'

_E_x_a_m_p_l_e_s:

     ## 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

