fxtools {fxregime} | R Documentation |
Tools for exchange rate regime classification, currently under development.
fxpegtest(model, peg = NULL, ...)
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 . |
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
.
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.
## 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