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

[Vikram Bahure]

Dear Rahul,

Thank you for your note of appreciation.

The 'eesPlot' function, replicates the Patnaik, Shah and Singh (2013)
paper, Foreign investors under stress Evidence from
India<http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract>.
The paper uses modified event study methodology, which deals with clustered
events and purges out mixed events before performing event study.

For instance, your response series is FX rate (FX) and event series is
Unemployment rate (UR). Methodology:
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).
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.
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.
4. Event study: Once we have modified event series (UR) and response series
(FX), event study graph is generated.

I hope this was helpful. For more detailed understanding, I will suggest
you to download the
paper.<http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract>

Regards
Vikram Bahure
Consultant
NIPFP
New Delhi.


On Tue, Nov 26, 2013 at 10:54 AM, Rahul Choudhry
<rahul.choudhry at gmail.com>wrote:

> 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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