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.