Various Tools for Exchange Rate Regime Classification
Tools for exchange rate regime classification, currently under development.
an object of class
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
These tools should help to automate exchange rate regime classification.
The first building block is the function
fxpegtest, a simple convenience
linearHypothesis. It assess the null hypothesis
that only the
peg currency has coefficient
1 and all other
currencies have coefficient
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.
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## 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
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