[Eventstudies-discussion] Function eesPlot in package "eventstudies"

[Rahul Choudhry]

Hi,

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.

I was going through the package manual at the link below and trying to
understand other functions in the package.
http://cran.r-project.org/web/packages/eventstudies/eventstudies.pdf

In particular I am trying to get my head around eesPlot function better and
if I can use it in my analysis.
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.

Following is a snippet of the file showing daily returns of different Forex
rates

    Date EUR JPY CHF GBP CAD AUD NZD NOK SEK  1/3/2000 0 0 0 0 0 0 0 0 0
1/4/2000 0.002 -0.016 0.002 -0.001 -0.005 -0.009 -0.011 0.004 0.01  1/5/2000
0.002 -0.011 0.002 0.003 0.002 0.004 -0.005 0 0.001  1/6/2000 -0.002 -0.01
0.005 0.003 -0.007 -0.004 -0.005 -0.001 -0.002  1/7/2000 -0.002 0.002 -0.011
-0.006 0.002 0.001 0.003 -0.003 -0.006  1/10/2000 -0.003 0.001 -0.003 -0.001
0 0.001 0.002 -0.007 -0.004  1/11/2000 0.007 -0.007 0.006 0.007 0 0.003
-0.001 0.007 0.006  1/12/2000 -0.001 0 -0.002 0 0.002 0 0.004 -0.001 -0.002
1/13/2000 -0.005 -0.002 -0.006 -0.001 0.002 0.015 0.011 0.004 0

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.

   *Date* *Actual Line* *Survey Median Line*  01/31/2000 4 4  02/29/2000 4.1
4  03/31/2000 4.1 4  04/30/2000 3.9 4  05/31/2000 4.1 3.9  06/30/2000 4 4
07/31/2000 4 4  08/31/2000 4.1 4  09/30/2000 3.9 4.1  10/31/2000 3.9 4
-- 
Any assistance provided would be very helpful.


Thanks for your time.

Rahul




Regards,
Rahul
Cell: 312 480 5469
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