fxreturns function

Compute Exchange Rate Returns

Compute a multivariate series of exchange rate returns (log-returns in percent) from a multivariate series of exchange rates.

fxreturns(x, other = c("USD", "JPY", "DUR", "GBP"), data = NULL,
  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). By default FXRatesCHF is used.

• 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).

Returns

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)