资源描述
Calculating a Relevant TWIRichard SullivanReserve Bank of New ZealandTrade weighted exchange rateWhat is a TWI/NEER/REER?Why have one?What is it used for?What currencies to use?How to weight?Why not just trade weights?How to calculate NEERHow to recalculate,and how often?How to calculate REERWhat is a TWI?TWI=Trade Weighted IndexA multilateral exchange rate which is a weighted average of exchange rates of foreign currencies,with the weight for currency based on its share in trade.It measures the average price of goods relative to the average price of goods of trading partners.What is it for?A tool for measuring:direct influence of exchange rate movements on pricesindirect influence of the exchange rate on inflation through influence on external sector competitivenessIf the index increases,the purchasing power of that currency is higher(the currency strengthened against the countrys trading partners).A lower index means that the currency depreciated(devaluation)so that you need more of that currency to pay for imports.Provides a measure of relative value against a range of currencies you are interested in.NEERNominal Effective Exchange Rate a nominal TWIThe weighted average value of a countrys currency relative to a pool of currencies.The weights are determined by the importance a home country places on the other currencies within the pool usually based on trade.Usually measured by trade flows(hence TWI).TWI less volatilePaanga not as volatile as bilateral rates suggestREERReal Effective Exchange Ratea real TWISame as NEER,but adjusted for inflationBetter measure of competitiveness over timetakes into account price movementsA higher REER indicates lower competitiveness as it costs more to produce similar goods.NEER calculationImportant decisionsPick the relevant currenciesTrade flow?Policy goals will provide guideDetermine appropriate weightsWhich way to weight?How often to re-weight?Choosing Appropriate CurrenciesTrade flowsJust exports?if export competitiveness is the primary goalJust imports?If imported price inflation is key priorityAll trade?Other currency flowsRemittancesCapital/grantsCompleteness vs ease of calculationFactors to consider when determining weightsEqual weighting to exports and imports?Other currency flowsForeign currency regimesCurrency pegs(e.g to USD)Similar baskets(e.g Fiji and Tonga)Third country competitionCompetition faced by exporters from countries not in baskete.g squash from Mexico to JapanStudies show is good proxy for wider range of currencies within TWIMore currencies does not mean better coverageTWI14 index includes the five TWI currencies with the addition of the currencies of:China,Malaysia,Indonesia,Thailand,Taiwan,Korea,Singapore,Hong Kong and Canada.AdministriviaArithmetic vs geometric meanUpdate frequencyEase of finding dataWhat data to useData websiteIMF dataCurrenciesGDPInflationimf.org/external/data.htmWEO database for GDP and inflationIFS if you need currenciesNEER ExamplesExamplesNZD TWI5 currency basket with 50%GDP weightTonga NEER4 currency basket,all trade weight 5 currency basket,25%trade weightWhat about the CNY?NZD TWIGDP weight greatly increases importance of USD and euroBetter reflects actual currency traded,and third country competitionTOP NEERPrevious methodologyTrade only weightsSubject to large changes in weightsNo account for 3rd country competitionUpdated every 5 yearsWeights can become inappropriateTOP NEERAdded 3rd country competition25%GDP weights/75%trade weights(50%made USA too dominant as other countries were so small relatively)Update more regularlyStability in weightCalculation of NEER 1.Get trade weights for appropriate year appropriate year will always be 2 years behind(e.g in January 2009,the data you need are for 2019)insert total annual import and export data into sheet data Calculate trade weight as%of basket currencies2.Get GDP weights for appropriate year enter GDP data into sheet data enter average exchange rate for year to make Convert GDP into USD Calculate GDP weight as%of basket currencies3.NEER weights will be weighted average of both trade and GDP weight4.Calculate index Convert bilateral exchange rates to index with common baseUse new weights to calculate index=100 for month in which you plan to change Multiply by factor so that it is splice with previous year(eg if NEER is 51.6,multiply new index by 51.6/100)1.Calculating trade weightFind import and export data for chosen currencies In local currencyCalculate as percentage of all trade with those chosen countries2.Calculating GDP weightFind GDP data for chosen currenciesIn levelsIn common currencyCalculate as percentage of total GDP of those chosen countries3.Calculate NEER weightAverage exchange rate for yearSum of selected countries3.Calculate NEER weightShare of trade/sum of tradeShare of GDP/sum of GDPWeighted average of above4.Calculate indexSet bilateral exchange rates to common base indexMultiply by NEER weights and aggregateSplice with current seriesExampleCreate common baseMultiply by weights to get NEERSplice index To include the CNY?Currency flows suggest it is a very important currency to considerImportsGrantsLoansPegged to USDSo no reason to add as new currencyPeg is being loosenedShould increase importance of CNYConsider inclusion as CNY moves become less tied to USDREERAnother important decisionWhat deflator to use?Depends on policy goalCore inflation is theoretically bestBut different countries measure core inflation differentlyHeadline inflation is most accessibleAll countries publishBest for international comparison due to similarityrbnz.govt.nz/research/bulletin/2019_2019/jun2019.html“A review of the trade weighted index”CalculationCalculate bilateral real exchange ratesr=e*P/Pr=real exchange ratee=nominal exchange rateP=home price levelP=foreign price levelIndex bilateral rates to common baseMultiply by NEER weights and aggregateSplice with current indexReweight at same time as NEERExample NZD/TOPNominal exchange rateCPI(index not inflation)Nominal exchange rate*Tonga CPI/NZ CPI*1023(to base at 100 in Dec 06)Nominal vs RealWhy the difference?CPI InflationCalculationCalculate bilateral real exchange ratesr=e*P/Pr=real exchange ratee=nominal exchange rateP=home price levelP=foreign price levelIndex bilateral rates to common baseMultiply by NEER weights and aggregateSplice with current indexReweight at same time as NEERQuestions谢谢你的阅读v知识就是财富v丰富你的人生谢谢
展开阅读全文