There are quite a few Euro Currency Indices aiming to measure the value of Euro against a basket of other major currency ratesMajor Euro Currency Indices

There are quite a few Euro Currency Indices aiming to measure the value of Euro against a basket of other major currency rates.

These are the most important Euro Currency Indices:

  1. Euro Currency Index (EUR_I)
  2. Euro Effective Exchange Rate Index (EER-20)
  3. Dow Jones Euro Indices (former)
  4. New York Board of Trade -ECX, EURX, EXY (former)

Chart: The EURO Index

The EUR Index

Source: FinViz Currency Indices


 

(1) Euro Currency Index (EUR_I)

The Euro Currency Index is an index that reflects the exchange rate of four (4) currencies against the Euro. These four currencies are:

1. US-Dollar

2. British Pound Sterling

3. Japanese Yen

4. Swiss Franc

The Euro Currency Index was launched in 2004 and the base is 100 points commencing on January, 4th 1971. As the Euro currency was launched in 1999 before that year the Euro Currency Index is calculated based on the Deutsche Mark.

 

Table: Weighting of the 4 currencies against the euro

Currency

Code

Weight

US Dollar

USD

25%

British Pound Sterling

GBP

25%

Japanese Yen

JPY

25%

Swiss Franc

CHF

25%

Total

100%

» The Euro Index (EUR_I) at Stooq

» Euro Currency Index (ZEU:IOM) at Financial Times

Euro Currency Index Correlations

In general, a rising Euro Currency Index reflects the tendency of falling prices in agricultural commodity markets. On the other hand a falling Euro Currency Index reflects rising prices in agricultural commodity markets.

 

PAMM 250

 

(2) Euro Effective Exchange Rate Index (EER-20) -ECB

The Euro exchange rates which are forming that index are calculated based on Euro weighted averages against 20 major Eurozone trading partners. The effective exchange rate of the euro is measured by the ECB (European Central Bank). The base period for the Euro Effective Exchange Rate Index is the first quarter of 1999.

■ Base Period 1999 / Q1 = 100

» The Page of the Euro Effective Exchange Rate Index (ECB)

Table: EER-20 weights (based on 5 different reference periods)

 

2007-2009

2004-2006

2001-2003

1998-2000

1995-1997

 

Percentage (%) per Reference Period

China

18.6

14.1

9.2

6.4

5.5

USA

16.8

19.1

22.6

23.6

20.7

UK

14.8

17.5

20.3

21.5

22.5

Japan

7.1

8.2

9.2

10.7

12.0

Switzerland

6.4

6.4

6.9

7.2

8.2

Poland

6.1

4.8

4.0

3.4

2.9

Czech

5.0

4.1

3.6

2.9

2.7

Sweden

4.7

4.9

4.6

5.2

5.7

South Korea

3.9

3.9

3.3

3.2

3.5

Hungary

3.2

3.1

3.0

2.6

1.9

Denmark

2.6

2.7

2.7

2.8

3.1

Romania

2.0

1.7

1.4

1.0

0.9

Canada

1.6

1.8

1.9

1.9

1.8

Hong Kong

1.6

1.8

1.9

2.1

2.4

Singapore

1.5

1.7

1.7

1.9

2.3

Norway

1.3

1.3

1.3

1.4

1.6

Australia

0.9

1.0

1.0

1.0

1.0

Bulgaria

0.6

0.5

0.4

0.4

0.3

Croatia

0.6

0.7

0.6

0.5

0.7

Lithuania

0.4

0.3

0.3

0.2

0.2

Total

100.0

100.0

100.0

100.0

100.0

 

Other / Former Euro Currency Indices

There are also some former Euro Currency Indices worth mentioning.

 

(3) Dow Jones Euro Indices (former)

The Dow Jones & Company launched in 2005 two different Euro Currency Indices. The base for both these two indices was 100 points (December, 31st 1998).

-Dow Jones Euro Currency Index (DJEURO)

It was measuring the value of Euro against 10 major currencies (USD, JPY, GBP, CHF, CAD, AUD, Russian Ruble, Swedish Krona, South Korean Won and New Taiwan Dollar).

-Dow Jones Euro Currency 5 Index (DJEURO5)

It was measuring the value of Euro against 5 major currencies (USD, JPY, GBP, CHF, AUD),

 

(4) New York Board of Trade (ECX, EURX, EXY)

The New York Board of Trade (NYBOT) launched the Euro Currency Index (ECX, EURX, EXY) in 2006. The ECX index was based on the value of a basket of five currencies against the Euro.

Table: Weighting of the 5 currencies to the euro

Currency

Code

Weight

US Dollar

USD

31.55%

British Pound Sterling

GBP

30.56%

Japanese Yen

JPY

18.91%

Swiss Franc

CHF

11.13%

Swedish Krona

SEK

7.85%

Total

100%

Here is the exact formula of ECX (geometrically weighted average value):

■ ECXt = 34.38805726 x (USDt) – 0.3155 x (GBPt) 0.3056 x (JPYt) – 0.1891 x (CHFt) 0.1113 x (SEKt) 0.0785

 

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