/* THIS IS C:\REVIEW\NEELY\REALIGN\REVGRAPH.PRG */

/* THIS PROGRAM USES GAUSS TO CREATE THE THREE GRAPHS USED IN CHRIS NEELY'S */
/* REVIEW ARTICLE, TO BE PUBLISHED IN THE ST. LOUIS REVIEW SEPT/OCT 1994. */

new;
library pgraph;

/* THE DATA IS READ HERE AND MODIFIED TO REMOVE OR CHANGE EXTRANEOUS POINTS */

/* The text files contain three variables,  */
/* the 3 month euro-market interest rate,   */
/* the 'spot' exchange rate against the $US  */
/* and the central exchange rate against      */
/* the Ecu.  The data are March 13, 1979 to July 31,1993  */
/* January 2, 1985 is ob # 2123 in the unmodified data. */

load france[5254,3] = c:\review\neely\realign\frang.txt;
load germany[5254,3] = c:\review\neely\realign\germg.txt;

dates = seqa(1979+(2.4/12),1/365,rows(germany));

trf3=(france[.,3].==9999);   /* The 1st lines in each of the next 2 groups */
trf2=(france[.,2].==9999);   /* are used to help remove the weekends.  The */
trf1=(france[.,1].==9999);   /* weekend have values of 9999.               */

trg3=(germany[.,3].==9999);  /* The 2nd lines in each of these 2 groups    */
trg2=(germany[.,2].==9999);  /* will be used to transform missing values   */
trg1=(germany[.,1].==9999);  /* so that gauss can manipulate the data.     */

    /* The 3rd lines in each of these 2 groups    */
    /* will be used to transform missing values   */
    /* so that gauss can manipulate the data.     */

fr2=missex(france[.,2],trf2);  /* These 3 lines use the 2nd lines from the */
ge2=missex(germany[.,2],trg2); /* above groups to transform the missing    */

fr1=missex(france[.,1],trf1);  /* These 3 lines use the 3rd lines from the */
ge1=missex(germany[.,1],trg1); /* above groups to transform the missing    */

fran=fr1~fr2~france[.,3];
germ=ge1~ge2~germany[.,3];

fr3=delif(fran,trf3);        /* These 3 lines use the 1st lines in the     */
ge3=delif(germ,trg3);        /* above groups to delete the weekends from   */
dates2 = delif(dates,trg3);

             /* THE CODING FOR ALL THE FIGURES BEGINS HERE */

     /* The following code modifies the data to be used in Figure 1 */

trend = dates2;
ffge = fr3[.,1] - ge3[.,1];
rowsvec = rows(ffge);
cp = ge3[.,3] ./ fr3[.,3];
top = 1.0225 * cp;
bottom = .9775 * cp;
dmff = (ge3[.,2] ./ (fr3[.,2]));
dmff = dmff ~ top ~ bottom ~ cp;
dmff1 = dmff ./ (dmff[1,4] .* ones(1,4));
dmff2 = ln(dmff1);

                          /* Find the realignments */

dcp = cp[2:rows(cp),1] - cp[1:rows(cp)-1,1];
indx = indexcat(abs(dcp),.00001|25);
datz = trend[indx,1];
datz = ones(rowsvec,rows(datz)) .* datz';
dist = maxc(maxc(ffge)) - minc(minc(ffge));
ydatz = seqa(minc(minc(ffge)),dist/rowsvec,rowsvec);
ydatz = ones(rowsvec,cols(datz)) .* ydatz;

begwind;
window(2,1,0);

cnvtype= "3";                   @ conversion file type        @
cnvnam = "c:\\review\\neely\\realign\\dmffxi.grf";
wtime  = "5";                    @ time to wait, in seconds   @
cmdstr = " -c=" $+ cnvtype $+ " -cf=" $+ cnvnam $+ " -w=" $+ wtime;
_pdate = 0;
_pltype = 6 * ones(cols(dmff2),1);
graphprt(cmdstr);

setwind(1);
title("DM per franc, March 1979 to July 1993");
xlabel("Year");
ylabel("Ln Levels of Normalized Exchange Rates");
xy(trend,dmff2);

screen off;
output file = c:\review\neely\realign\years.txt reset;
output on;
trend;
output off;
screen on;
screen off;
output file = c:\review\neely\realign\dmff2.txt reset;
dmff2;
output off;
screen on;

nextwind;
title("French - German 3 month interest rates, March 1979 to July 1993");
xlabel("Year");
ylabel("Interest Rate Differentials");
_pltype = 6 * ones(cols(ffge)+cols(ydatz),1);
xy(trend~datz,ffge~ydatz);

screen off;
output file = c:\review\neely\realign\ffge.txt reset;
ffge;
output off;
screen on;
screen off;
output file = c:\review\neely\realign\indx.txt reset;
indx;
output off;
screen on;

endwind;

      /* The following code modifies the data to be used in Figure 2 */

dt = 100 * ln(dmff[.,1] ./ cp);
intdif = .25 * (ge3[.,1] - fr3[.,1]);
lack = dt - intdif;
rowsvec = rows(dt);

                    /* Find the realignments */

datz1 = trend[indx,1];
datz2 = ones(rowsvec,rows(datz1)) .* datz1';
dist = maxc(maxc(lack)) - minc(minc(lack));
ydatz1 = seqa(minc(minc(lack)),dist/rowsvec,rowsvec);
ydatz2 = ones(rowsvec,cols(datz2)) .* ydatz1;

cnvtype= "3";                   @ conversion file type        @
cnvnam = "c:\\review\\neely\\realign\\UIP1.grf";
wtime  = "5";                    @ time to wait, in seconds   @
cmdstr = " -c=" $+ cnvtype $+ " -cf=" $+ cnvnam $+ " -w=" $+ wtime;
_pdate = 0;
_pltype = 6*ones(cols(lack),1)|1*ones(cols(ydatz2),1)|6;
_plwidth = 0*ones(cols(lack),1)|1*ones(cols(ydatz2),1)|2;
graphprt(cmdstr);

title("DM/franc within the band minus adjusted interest differentials,\L
 March 1979 to July 1993");
xlabel("Year");
ylabel("In Percentage Terms");
xy(trend*ones(cols(lack),1)~datz2~trend,lack~ydatz2~zeros(rows(lack),1));

screen off;
output file = c:\review\neely\realign\lack.txt;
output on;
lack;
output off;
screen on;


end;