The new SNB exchange rate index

Robert Müller
Authors registered in the RePEc Author Service: Robert Mueller

No 2017-11, Economic Studies from Swiss National Bank

Abstract: The Swiss National Bank (SNB) is putting its calculated and published exchange rate indices on a new footing. This article describes the construction elements of the SNB's new exchange rate index, and presents the results of the new index calculation. The key aspects of the revision are: the application of the weighting method used by the IMF, which takes into account so-called third-market effects; continuous updating of the countries incorporated into the index; and calculation of a chained index. The methodological changes in the calculation of the new index have only a slight effect on the development of the nominal index. However, the difference between the nominal and real index (CPI-based) has increased with the new calculation. This is explained by the fact that countries with a greater weighting in the new index have higher average rates of inflation than those whose weighting has been reduced.

Keywords: Effective exchange rate index; weighting schemes; chained index (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2017
New Economics Papers: this item is included in nep-cba
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Persistent link: https://EconPapers.repec.org/RePEc:snb:snbecs:2017-11

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