<div dir="ltr">Dear Rahul, <div><br></div><div>Thank you for your note of appreciation. </div><div><br></div><div>The 'eesPlot' function, replicates the Patnaik, Shah and Singh (2013) paper, <a href="http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract">Foreign investors under stress Evidence from India</a>. The paper uses modified event study methodology, which deals with clustered events and purges out mixed events before performing event study. </div>
<div><br></div><div>For instance, your response series is FX rate (FX) and event series is Unemployment rate (UR). Methodology: </div><div>1. Defining event: With the help of all the data, we get a distribution of UR which is used to define event series. Extreme events on both sides of the tail are used in event series and tail is defined using 'prob.value' argument. ('prob.value=5' is 5% of tail on both sides). </div>
<div>2. Mixed events: There can be cases when right tail event is next to left tail event in an event series UR. With difficulty to interpret these results, we discard them. </div><div>3. Clustered events: After extracting tail events and discarding mixed events, there can be cases where we find consecutive left or right tail events. We fuse all the consecutive events into a single event and their respective response series. </div>
<div>4. Event study: Once we have modified event series (UR) and response series (FX), event study graph is generated. </div><div><br></div><div>I hope this was helpful. For more detailed understanding, I will suggest you to <a href="http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract">download the paper.</a> </div>
<div><br></div><div>Regards </div><div>Vikram Bahure </div><div>Consultant </div><div>NIPFP </div><div>New Delhi.<br></div></div><div class="gmail_extra"><br><br><div class="gmail_quote">On Tue, Nov 26, 2013 at 10:54 AM, Rahul Choudhry <span dir="ltr"><<a href="mailto:rahul.choudhry@gmail.com" target="_blank">rahul.choudhry@gmail.com</a>></span> wrote:<br>
<blockquote class="gmail_quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex"><div dir="ltr"><div><div><div><div><div>Hi,<br><br></div>First of all thanks a lot for putting this awesome package. I have been using it for the past one week or so for event profiling and looking at the impact of macro-economic events on various currencies.<br>
<br></div>I was going through the package manual at the link below and trying to understand other functions in the package.<br><a href="http://cran.r-project.org/web/packages/eventstudies/eventstudies.pdf" target="_blank">http://cran.r-project.org/web/packages/eventstudies/eventstudies.pdf</a><br>
<br></div>In particular I am trying to get my head around eesPlot function better and if I can use it in my analysis. <br></div>I am trying to analyse the FX rates of G10 currencies (wrt USD) and how they behave with the release of US economic reports (eg Monthly unemployment numbers). In other words, my response series would be daily FX rate returns for a particular currency. However, when it comes to event series, I am not really sure of what I should be using. <br>
<br></div>Following is a snippet of the file showing daily returns of different Forex rates<br><br>
<table cols="10" cellspacing="0" border="0">
<colgroup width="77"></colgroup>
<colgroup span="2" width="49"></colgroup>
<colgroup width="66"></colgroup>
<colgroup span="6" width="49"></colgroup>
<tbody><tr>
<td align="LEFT" height="16">Date</td>
<td align="LEFT">EUR</td>
<td align="LEFT">JPY</td>
<td align="LEFT">CHF</td>
<td align="LEFT">GBP</td>
<td align="LEFT">CAD</td>
<td align="LEFT">AUD</td>
<td align="LEFT">NZD</td>
<td align="LEFT">NOK</td>
<td align="LEFT">SEK</td>
</tr>
<tr>
<td align="LEFT" height="16">1/3/2000</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0</td>
</tr>
<tr>
<td align="LEFT" height="16">1/4/2000</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.016</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">-0.009</td>
<td align="RIGHT">-0.011</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">0.01</td>
</tr>
<tr>
<td align="LEFT" height="16">1/5/2000</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.011</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.001</td>
</tr>
<tr>
<td align="LEFT" height="16">1/6/2000</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">-0.01</td>
<td align="RIGHT">0.005</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">-0.007</td>
<td align="RIGHT">-0.004</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">-0.002</td>
</tr>
<tr>
<td align="LEFT" height="16">1/7/2000</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.011</td>
<td align="RIGHT">-0.006</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.001</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">-0.003</td>
<td align="RIGHT">-0.006</td>
</tr>
<tr>
<td align="LEFT" height="16">1/10/2000</td>
<td align="RIGHT">-0.003</td>
<td align="RIGHT">0.001</td>
<td align="RIGHT">-0.003</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.001</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">-0.007</td>
<td align="RIGHT">-0.004</td>
</tr>
<tr>
<td align="LEFT" height="16">1/11/2000</td>
<td align="RIGHT">0.007</td>
<td align="RIGHT">-0.007</td>
<td align="RIGHT">0.006</td>
<td align="RIGHT">0.007</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.003</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0.007</td>
<td align="RIGHT">0.006</td>
</tr>
<tr>
<td align="LEFT" height="16">1/12/2000</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">-0.002</td>
</tr>
<tr>
<td align="LEFT" height="16">1/13/2000</td>
<td align="RIGHT">-0.005</td>
<td align="RIGHT">-0.002</td>
<td align="RIGHT">-0.006</td>
<td align="RIGHT">-0.001</td>
<td align="RIGHT">0.002</td>
<td align="RIGHT">0.015</td>
<td align="RIGHT">0.011</td>
<td align="RIGHT">0.004</td>
<td align="RIGHT">0</td>
</tr>
</tbody></table>
<br><div><br></div><div>Following is a snippet of Unemployment data. ( it is released at the end of every month). If I make a daily time series, every month from Day 1 till end of month, I will be carrying the numbers from the end of last month when new data comes in.<br>
<br>
<table cols="3" cellspacing="0" border="0">
<colgroup width="107"></colgroup>
<colgroup span="2" width="80"></colgroup>
<tbody><tr>
<td align="LEFT" bgcolor="#4F81BD" height="20" valign="BOTTOM"><b><font color="#FFFFFF">Date</font></b></td>
<td align="LEFT" bgcolor="#4F81BD" valign="BOTTOM"><b><font color="#FFFFFF">Actual Line</font></b></td>
<td align="LEFT" bgcolor="#4F81BD" valign="BOTTOM"><b><font color="#FFFFFF">Survey Median Line</font></b></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">01/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">02/29/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">03/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">04/30/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">05/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">06/30/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">07/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">08/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">09/30/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4.1</font></td>
</tr>
<tr>
<td align="RIGHT" height="20" valign="BOTTOM"><font color="#000000">10/31/2000</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">3.9</font></td>
<td align="RIGHT" valign="BOTTOM"><font color="#000000">4</font></td>
</tr>
</tbody></table>
<br></div><div>-- <br></div><div>Any assistance provided would be very helpful.<br><br><br></div><div>Thanks for your time.<br><br></div><div>Rahul<br></div><div><br><br><br><br><div><div><div><div><div>Regards,<br>Rahul<br>
Cell: 312 480 5469
</div></div></div></div></div></div></div>
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<br></blockquote></div><br></div>