Compute a multivariate series of exchange rate returns (log-returns in percent)
from a multivariate series of exchange rates.
Usage
fxreturns(x, other = c("USD", "JPY", "DUR", "GBP"), data = FXRatesCHF,
frequency = "weekly", start = NULL, end = NULL, na.action = na.locf, trim = FALSE)
Arguments
x
character with column name of selected target currency.
other
character vector with column names of further currencies (to be
used as regressors).
data
a "zoo" time series with FX rates (with respect to a base currency).
frequency
character specifying whether weekly or daily returns should be computed.
start
start time of the exchange rate series (before computing returns).
end
end time of the exchange rate series.
na.action
function for handling NAs.
trim
logical or numeric. Should time points with extreme returns of the
target currency be excluded? If set to TRUE, the quantiles c(0.01, 0.99)
are used for trimming.
Details
fxreturns is a convenience function for selecting a smaller number
of currencies from a large database of exchange rates (such as FXRatesCHF
provided with the package), selecting a certain time window (if necessary),
computing returns (weekly or daily), eliminating missing values and potentially trimming
extreme returns (of the target currency).
Value
A "zoo" with the returns of the specified currencies.
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.
http://epub.wu.ac.at.
Zeileis A., Shah A., Patnaik I. (2010), Testing, Monitoring, and Dating Structural
Changes in Exchange Rate Regimes, Computational Statistics and Data Analysis,
54(6), 1696–1706. http://dx.doi.org/10.1016/j.csda.2009.12.005.
See Also
fxlm, fxregimes,
fxmonitor
Examples
## load package and data
library("fxregime")
data("FXRatesCHF", package = "fxregime")
## compute returns for CNY (and explanatory currencies)
## for one year after abolishing fixed USD regime
cny <- fxreturns("CNY", frequency = "daily",
start = as.Date("2005-07-25"), end = as.Date("2006-07-24"),
other = c("USD", "JPY", "EUR", "GBP"))
plot(cny)