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

[Ajay Shah]

Use
http://macrofinance.nipfp.org.in/releases/PatnaikShahSingh2013_Foreign_Investors.htmlas
the main page for the paper.


On 26 November 2013 19:38, Vikram Bahure <economics.vikram at gmail.com> wrote:

> 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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>>
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>>
>>
>
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-- 
Ajay Shah
ajayshah at mayin.org
http://www.mayin.org/ajayshah
http://ajayshahblog.blogspot.com
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