Calculating-a-relevant-TWI-Pacific-Financial-Technical-计算相关的二次太平洋金融技术教学课件

CalculatingaRelevantTWIRichardSullivanReserveBankofNewZealandTradeweightedexchangerateWhatisaTWI/NEER/REER?Whyhaveone?Whatisitusedfor?Whatcurrenciestouse?Howtoweight?Whynotjusttradeweights?HowtocalculateNEERHowtorecalculate,andhowoften?HowtocalculateREERWhatisaTWI?TWI=TradeWeightedIndexAmultilateralexchangeratewhichisaweightedaverageofexchangeratesofforeigncurrencies,withtheweightforcurrencybasedonitsshareintrade.Itmeasurestheaveragepriceofgoodsrelativetotheaveragepriceofgoodsoftradingpartners.Whatisitfor?Atoolformeasuring:directinfluenceofexchangeratemovementsonpricesindirectinfluenceoftheexchangerateoninflationthroughinfluenceonexternalsectorcompetitivenessIftheindexincreases,thepurchasingpowerofthatcurrencyishigher(thecurrencystrengthenedagainstthecountry'stradingpartners).Alowerindexmeansthatthecurrencydepreciated(devaluation)sothatyouneedmoreofthatcurrencytopayforimports.Providesameasureofrelativevalueagainstarangeofcurrenciesyouareinterestedin.NEERNominalEffectiveExchangeRateanominalTWITheweightedaveragevalueofacountry'scurrencyrelativetoapoolofcurrencies.Theweightsaredeterminedbytheimportanceahomecountryplacesontheothercurrencieswithinthepool–usuallybasedontrade.Usuallymeasuredbytradeflows(henceTWI).TWIlessvolatilePa’anganotasvolatileasbilateralratessuggestREERRealEffectiveExchangeRatearealTWISameasNEER,butadjustedforinflationBettermeasureofcompetitivenessovertimetakesintoaccountpricemovementsAhigherREERindicateslowercompetitivenessasitcostsmoretoproducesimilargoods.NEERcalculationImportantdecisionsPicktherelevantcurrenciesTradeflow?PolicygoalswillprovideguideDetermineappropriateweightsWhichwaytoweight?Howoftentore-weight?ChoosingAppropriateCurrenciesTradeflowsJustexports?ifexportcompetitivenessistheprimarygoalJustimports?IfimportedpriceinflationiskeypriorityAlltrade?OthercurrencyflowsRemittancesCapital/grantsCompletenessvseaseofcalculationFactorstoconsiderwhen

determiningweightsEqualweightingtoexportsandimports?OthercurrencyflowsForeigncurrencyregimesCurrencypegs(e.gtoUSD)Similar‘baskets’(e.gFijiandTonga)ThirdcountrycompetitionCompetitionfacedbyexportersfromcountriesnotin‘basket’e.gsquashfromMexicotoJapanStudiesshowisgoodproxyforwiderrangeofcurrencieswithinTWIMorecurrenciesdoesnotmeanbettercoverageTWI14indexincludesthefiveTWIcurrencieswiththeadditionofthecurrenciesof:China,Malaysia,Indonesia,Thailand,Taiwan,Korea,Singapore,HongKongandCanada.AdministriviaArithmeticvsgeometricmeanUpdatefrequencyEaseoffindingdataWhatdatatouseDatawebsiteIMFdataCurrenciesGDPInflation/external/data.htmWEOdatabaseforGDPandinflationIFSifyouneedcurrenciesNEERExamplesExamplesNZDTWI5currencybasketwith50%GDPweightTongaNEER4currencybasket,alltradeweight5currencybasket,25%tradeweightWhatabouttheCNY?NZDTWIGDPweightgreatlyincreasesimportanceofUSDandeuroBetterreflectsactualcurrencytraded,andthirdcountrycompetitionTOPNEERPreviousmethodologyTradeonlyweightsSubjecttolargechangesinweightsNoaccountfor3rdcountrycompetitionUpdatedevery5yearsWeightscanbecomeinappropriateTOPNEERAdded3rdcountrycompetition25%GDPweights/75%tradeweights(50%madeUSAtoodominantasothercountriesweresosmallrelatively)UpdatemoreregularlyStabilityinweightCalculationofNEER

Gettradeweightsforappropriateyearappropriateyearwillalwaysbe2yearsbehind(e.ginJanuary2009,thedatayouneedarefor2019)inserttotalannualimportandexportdataintosheet"data"Calculatetradeweightas%of‘basket’currenciesGetGDPweightsforappropriateyearenterGDPdataintosheet"data"enteraverageexchangerateforyeartomakeConvertGDPintoUSDCalculateGDPweightas%of‘basket’currenciesNEERweightswillbeweightedaverageofbothtradeandGDPweightCalculateindexConvertbilateralexchangeratestoindexwithcommonbaseUsenewweightstocalculateindex=100formonthinwhichyouplantochangeMultiplybyfactorsothatitissplicewithpreviousyear(egifNEERis51.6,multiplynewindexby51.6/100)1.CalculatingtradeweightFindimportandexportdataforchosencurrenciesInlocalcurrencyCalculateaspercentageofalltradewiththosechosencountries2.CalculatingGDPweightFindGDPdataforchosencurrenciesInlevelsIncommoncurrencyCalculateaspercentageoftotalGDPofthosechosencountries3.CalculateNEERweightAverageexchangerateforyearSumofselectedcountries3.CalculateNEERweightShareoftrade/sumoftradeShareofGDP/sumofGDPWeightedaverageofabove4.CalculateindexSetbilateralexchangeratestocommonbaseindexMultiplybyNEERweightsandaggregateSplicewithcurrentseriesExampleCreatecommonbaseMultiplybyweightstogetNEERSpliceindexToincludetheCNY?CurrencyflowssuggestitisaveryimportantcurrencytoconsiderImportsGrantsLoansPeggedtoUSDSonoreasontoaddasnewcurrencyPegisbeingloosenedShouldincreaseimportanceofCNYConsiderinclusionasCNYmovesbecomelesstiedtoUSDREERAnotherimportantdecisionWhatdeflatortouse?DependsonpolicygoalCoreinflationistheoreticallybestButdifferentcountriesmeasurecoreinflationdifferentlyHeadlineinflationismostaccessibleAllcountriespublishBestforinternationalcomparisonduetosimilarityt.nz/research/bulletin/2019_2019/jun2019.html

“Areviewofthetradeweightedindex”CalculationCalculatebilateralrealexchangeratesr=e*P/P´r=realexchangeratee=nominalexchangerateP=homepricele