RDP 2001-04: Measuring the Real Exchange Rate: Pitfalls and Practicalities Appendix A: Data Sources

Import, export and total trade weights

From 1988, trade weights match those used in the measure of the TWI published three times a day by the Reserve Bank. These are derived as the shares of total trade (exports plus imports) by country published in the ABS release International Merchandise Trade, Cat No 5422.0. The countries in the import and export-weighted indices are the same as those in the TWI, even though a 90-per-cent rule based on import or export weights alone might yield a different list of countries.

Third-country export weights

Weights for this series are calculated from United Nations Commodity Trade Statistics for 1994. Data limitations have restricted the available data sample to 1990 for nominal and 1991 for the real third-country weighted exchange rate index. Poland is excluded from the real third-country weighted index.

Debt and lending weights

Weights for the debt and lending-weighted exchange rate indices presented in Graph 3 are (financial-year) annual averages of foreign borrowing and lending disaggregated by major currency, from Table 37 of ABS Cat No 5302.0 (Balance of Payments and International Investment Position). Derivatives and other securities that are unable to be allocated by currency are omitted.

GDP weights

GDP weights are from the IMF World Economic Outlook (IMF 2001), constructed as annual national nominal GDP converted to US$ using OECD PPP exchange rates, then rescaled so that the sum of the weights in the exchange rate index sum to one. See also Gulde and Schulze-Ghattas (1993).

Bilateral exchange rates

From 1984, quarterly bilateral exchange rates are quarterly averages of daily 4pm (Sydney) close exchange rates against the USD, sourced from the internal database of the RBA's International Department, except for the Spanish peseta, which is sourced from the IMF's International Financial Statistics (IFS). Exchange rates for earlier periods are sourced from the IMF's IFS as reproduced on the Datastream service. These are quarterly averages of daily exchange rates, recorded at noon New York time. Small differences can arise between the noon New York rates from Datastream and the 4pm Sydney rates used internally by the Bank. Table A1 shows the relevant Datastream codes, including for currencies such as the Vietnamese dong, which did not trade sufficiently with Australia in the pre-1984 period.

Table A1: Datastream Codes for Bilateral Exchange Rates
Country Exchange rate Datastream code
Australia (dollar) AUD/USD AUI..RF.
Belgium (B franc) USD/BEF BGI..RF.
Canada (dollar) USD/CAD CNI..RF.
Chile (peso) USD/CLP CLI..RF.
China (renminbi) USD/CNY CHI..RF.
Denmark (krone) USD/DKK DKI..RF.
Fiji (dollar) USD/FJD (inverted) FJI..RF.
France (franc) USD/FRF FRI..RF.
Germany (mark) USD/DEM BDI..RF.
Hong Kong (dollar) USD/HKD HKI..RF.
India (rupee) USD/INR INI..RF.
Indonesia (rupiah) USD/IDR IDI..RF.
Ireland (punt) USD/IEP IRI..RF.
Italy (lira) USD/ITL ITI..RF.
Japan (yen) USD/JPY JPI..RF.
Malaysia (ringgit) USD/MYR MYI..RF.
Netherlands (guilder) USD/NLG NLI..RF.
New Zealand (dollar) USD/NZD NZI..RF.
Norway (krone) USD/NOK NWI..RF.
Philipines (peso) USD/PHP PHI..RF.
Poland (zloty) USD/PLN POI..RF.
Saudi Arabia (riyal) USD/SAR SII..RF.
Singapore (dollar) USD/SGD SPI..RF.
South Africa (rand) USD/ZAR SAI..RF.
South Korea (won) USD/SKW KOI..RF.
Spain (peseta) USD/ESP ESI..RF.
Sweden (krona) USD/SEK SDI..RF.
Switzerland (franc) USD/CHF SWI..RF.
Thailand (baht) USD/THB THI..RF.
Turkey (lira) USD/TRL TKI..RF.
UAE (dirham) USD/AED UAI..RF.
United Kingdom (pound) USD/GBP UKI..RF.
Vietnam (dong) USD/VND VICPUSD.F
Table A2: Consumer Price Indices
Datastream/CEIC code
where relevant
Australia Prior to September quarter 1976, headline (all groups) CPI published by ABS (Cat No 6401.0). From that date, weighted median CPI calculated by RBA. Series are spliced and rebased to March 1995=100.  
Belgium CPI excl food (nsa) BGCPNONFF
Canada CPI excl food, energy & indirect taxes (nsa) CNB3321.
China CPI: from CHI64…F to March 1988, from CHCPI…F thereafter CHI64…F
Euro CPI excl food, energy, alcohol & tobacco (harmonised measure – nsa) EMESCPIG%
France CPI excl energy (nsa) FRCPXENGF
Germany Quarterly average of monthly CPI excl energy (sa) WGUS0057E
Hong Kong CPI HIAA
India CPI – urban non-manual employees (nsa): from Datastream to January 1988, from CEIC thereafter INCPUINDF (to January 1988); IICA
Indonesia CPI: from Datastream prior to August 1983, from CEIC thereafter. Excludes East Timor from 1996. IDI64…F
Italy CPI excl food (nsa) ITOCCPXFF
Japan Quarterly average of monthly CPI excl fresh food (nsa) JPCPXFFDF
Malaysia CPI: from Datastream prior to 1994, from CEIC thereafter MYI64….F
Netherlands CPI excl food (nsa) NLOCCPXFF
New Zealand CPI excl credit services (nsa) NZCPIX..F
Papua New Guinea CPI PGI64…F
Philippines CPI: from PIAA prior to 1997, from PIFA thereafter PIAA PIFA
Saudi Arabia CPI (nsa) SII64…F
Singapore CPI SISA
South Africa CPI SACP….E
Spain CPI excl food & energy (nsa) ESCPEXFEF
Sweden CPI excl indirect taxes (nsa) SDCPNET.F
Switzerland CPI excl food (nsa) SWOCCPXFF
Thailand CPI: from Datastream prior to 1990, from CEIC thereafter THI64…F
United Arab Emirates No national data available. IMF Middle East CPI series used as a proxy. MEI64…F
United Kingdom Prior to 1975: headline CPI.
Since 1975, quarterly average of monthly CPI excl mortgage interest (nsa)
United States Quarterly average of monthly core CPI (CPI excl food and energy, nsa). USCPXFDEF
Vietnam CPI: from VIAAA prior to 1998, from VIBA thereafter VIAAA

Note: Datastream codes in bold type; CEIC codes in plain type.