Various Tools for Exchange Rate Regime Classification

Share:

Description

Tools for exchange rate regime classification, currently under development.

Usage

1
  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

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
## 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