R: Various Tools for Exchange Rate Regime Classification
fxtools
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 linearHypothesis.
Details
These tools should help to automate exchange rate regime classification.
The first building block is the function fxpegtest, a simple convenience
interface to linearHypothesis. 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.
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
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:
fxpegtest(fm)
## no deviation from a plain USD peg