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

