# fxreturns

##### Compute Exchange Rate Returns

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

- Keywords
- regression

##### Usage

```
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

`NA`

s.- 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).

##### Value

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

##### Examples

```
# NOT RUN {
## 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)
# }
```

*Documentation reproduced from package fxregime, version 1.0-4, License: GPL-2 | GPL-3*