Created
February 1, 2013 17:08
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#get Japan yield data from the Ministry of Finance Japan | |
#data goes back to 1974 | |
require(latticeExtra) | |
require(xtsExtra) | |
url <- "http://www.mof.go.jp/english/jgbs/reference/interest_rate/" | |
filenames <- paste("jgbcme",c("","_2010","_2000-2009","_1990-1999","_1980-1989","_1974-1979"),".csv",sep="") | |
#load all data and combine into one jgb data.frame | |
jgb <- read.csv(paste(url,filenames[1],sep=""),stringsAsFactors=FALSE) | |
for (i in 2:length(filenames)) { | |
jgb <- rbind(jgb,read.csv(paste(url,"/historical/",filenames[i],sep=""),stringsAsFactors=FALSE)) | |
} | |
#now clean up the jgb data.frame to make a jgb xts | |
jgb.xts <- as.xts(data.matrix(jgb[,2:NCOL(jgb)]),order.by=as.Date(jgb[,1])) | |
#get Yen from the Fed | |
getSymbols("DEXJPUS",src="FRED") | |
p1986 <- xyplot(na.omit(merge(DEXJPUS,jgb.xts[,"X10"])), | |
lattice.options=theEconomist.opts(), | |
par.settings=theEconomist.theme(box="transparent"), | |
scale=list(y=list(rot=0)), | |
strip=strip.custom(factor.levels=c("USD/Yen","JGB 10y Yield","Rolling 1Y Correlation")), | |
xlab=NULL, | |
main="Japanese JGB 10Y Yield and Yen Since 1986") | |
p2005 <- xyplot(na.omit(merge(DEXJPUS,jgb.xts[,"X10"]))["2005::",], | |
lattice.options=theEconomist.opts(), | |
par.settings=theEconomist.theme(box="transparent"), | |
scale=list(y=list(rot=0)), | |
strip=strip.custom(factor.levels=c("USD/Yen","JGB 10y Yield","Rolling 1Y Correlation")), | |
xlab=NULL, | |
main="Japanese JGB 10Y Yield and Yen Since 2005") | |
p2012 <- xyplot(na.omit(merge(DEXJPUS,jgb.xts[,"X10"]))["2012::",], | |
lattice.options=theEconomist.opts(), | |
par.settings=theEconomist.theme(box="transparent"), | |
scale=list(y=list(rot=0)), | |
strip=strip.custom(factor.levels=c("USD/Yen","JGB 10y Yield")), | |
xlab=NULL, | |
main="Japanese JGB 10Y Yield and Yen Since 2012") | |
#######print top to bottom | |
print(p2012,position=c(0,0,1,0.35),more=TRUE) | |
print(p2005,position=c(0,0.33,1,0.67),more=TRUE) | |
print(p1986,position=c(0,0.66,1,1)) |
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