clear all
close all

x = load('cz4.txt');
time = x(:,1);
pribor = x(:,2)/100;
fibor = x(:,3)/100;
dem = x(:,4);
ldem = log(dem);

diff = pribor - fibor;              % interest rate differential
depr = ldem(4:end) - ldem(1:end-3); % depreciation (change over 3 months, we have 3 month interest rate)
depr = [depr;nan(3,1)]*4;           % annualized (interest rates are p.a.)

disparity = diff - depr;
disparity_trend = hp(disparity, 200);

figure
plot(time,dem)
title('exchange rate CZK/DEM')
grid

figure
plot(time,[pribor fibor]*100)
legend('pribor','fibor')
grid

figure
plot(time,diff*100)
title('interest rate differential  i_t^{CZ} - i_t^{GER}')
grid

figure
plot(time,[disparity disparity_trend]*100)
legend('disparity','trend')
grid






