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The new SNB exchange rate index

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  • Robert Müller

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.

Suggested Citation

  • Robert Müller, 2017. "The new SNB exchange rate index," Economic Studies 2017-11, Swiss National Bank.
    • Handle: RePEc:snb:snbecs:2017-11
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    File URL: https://www.snb.ch/en/publications/research/economic-studies/2017/03/economic_studies_2017_11
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    More about this item

    Keywords

    Effective exchange rate index; weighting schemes; chained index;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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