Exchange rates and TWI - B1

The data: coverage, periodicity, and timeliness

Coverage characteristics

Exchange and cross rates are quoted against one New Zealand dollar.

• NZD/USD exchange rate
• NZD/GBP cross rate
• NZD/AUD cross rate
• NZD/JPY cross rate
• NZD/EUR cross rate
• NZD/CAD cross rate
• NZD/CNY cross rate
• NZD/HKD cross rate
• NZD/IDR cross rate
• NZD/KRW cross rate
• NZD/MYR cross rate
• NZD/SGD cross rate
• NZD/THB cross rate
• NZD/TWD cross rate
• NZD/INR cross rate
• NZD/PHP cross rate
• NZD/VND cross rate
• NZD/DEM cross rate (discontinued Dec 1998)

The trade-weighted index (TWI) is a weighted average of the New Zealand dollar with the currencies of New Zealand's major trading partners. The Reserve Bank publishes the following TWIs:

• Official TWI (nominal and real)
• Historical TWI
• Analytical TWI 5 (discontinued 30 April 2015)
• Analytical TWI 14 (discontinued 30 April 2015)

Periodicity

Daily and monthly

Timeliness

Data are released on a same day basis at 3pm. Real TWI estimates are updated monthly once relevant data is available.

Access by the public

Statistics release calendar

The Statistics Release Calendar provides a long-term plan of scheduled releases. It is updated and released on the first working day of the month.

View the Statistics Release Calendar.

Integrity

Dissemination of terms and conditions under which official statistics are produced, including confidentiality of individual responses

Although there is no legal requirement for the Reserve Bank to publish data on exchange rates, the data are disseminated by the Reserve Bank as a service to the public.

Provision of information about revisions and advance notice of major changes in methodology

The latest data added to the table is in bold font. Normally there are no revisions to these data as they are collected directly from the market. However if revisions are necessary, they will also be in bold font. This applies to the summary table only and not excel files.

Any major changes will be accompanied by a note.

Quality

Changes to exchange rate data

• Prior to 1 April 1991 exchange rates are indicative 3:00pm rates from Reuters.
• Between 1 April 1991 and 30 April 2015 exchange rates are indicative 11:10am mid-rates sourced from Reuters.
• From 1 May 2015 exchange rates are the WM/Reuters 2:00pm fixes published by the NZFMA.

Change to the Trade Weighted Index (TWI)

• Prior to 1 January 1999 the TWI was calculated using a five currency basket - USD, GBP, AUD, JPY, and DEM. Weights were based solely on bilateral trade and updated quarterly.
• Between 1 January 1999 and 16 December 2014 the TWI was calculated using a five currency basket - USD, GBP, AUD, JPY, and EUR. Weights were based on both bilateral trade (50 percent) and the size of the trading partner's economy (GDP) (50 percent). Weights are updated annually in December.
• From 17 December 2014 the TWI is calculated using a 17 currency basket - USD, GBP, AUD, JPY, EUR, CAD, CNY, HKD, IDR, KRW, MYR, SGD, THB, TWD, INR, PHP, and VND. Weights are based on bilateral trade and include services data from 2009. Weights are updated annually in December.

Exchange rates

Exchange rate

The exchange rate is the rate at which one currency is exchanged for another currency.

• Prior to 1 April 1991 exchange rates are indicative 3:00pm rates from Reuters.
• Between 1 April 1991 and 30 April 2015 exchange rates are indicative 11:10am mid-rates sourced from Reuters.
• From 1 May 2015 exchange rates are the WM/Reuters 2:00pm fixes published by the NZFMA.

Cross rate

Exchange rate relationship between two currencies based on each others relationship with a third, typically the US dollar.

Mid-rates

Financial institutions trading financial instruments will normally quote both bid and offer rates for those financial instruments. The mid-rate is the rate in the middle of this range.

The euro and the NZD/EUR

The euro (currency code EUR) replaced the national currencies of certain members of the European Union on 1 January 1999. Until 31 December 1998 the Reserve Bank collected the NZD/DEM (Deutsche mark). From 5 January 1999 (the first banking day in 1999) the Reserve Bank started to collect the NZD/EUR. Note that the euro replaced the Deutsche mark as a TWI contributor on 5 January 1999. The Official Fixing Rate for converting the Deutsche mark to the euro is 1.95583.

WM/Reuters New Zealand Dollar Fixes 14:00

The 2:00pm reference rate for the New Zealand dollar is the result of co-operation between the New Zealand Financial Markets Association (NZFMA), World Markets (WM) Company and Reuters. The reference rates are referred to as the "WM/Reuters New Zealand Dollar Fixes 14:00", and is calculated using an internationally accepted methodology.

• WM/Reuters Press Release (PDF 67KB)
• WM/Reuters Methodology (PDF 65KB)

Trade Weighted Index

Trade Weighted Index (TWI)

The trade-weighted index (TWI) is a measure of the value of the New Zealand dollar (NZD) relative to the currencies of New Zealand's major trading partners. The TWI is the Reserve Bank's preferred summary measure for capturing the medium-term effect of exchange rate changes on the New Zealand economy and inflation. The TWI "basket" of currencies includes 17 of New Zealand's most significant trading partners.

• United States dollar
• UK pound sterling
• Australian dollar
• Japanese yen
• European euro
• Canadian dollar
• South Korean won
• Chinese renminbi
• Malaysian ringgit
• Hong Kong dollar
• Indonesian rupiah
• Thai baht
• Singapore dollar
• New Taiwan dollar
• Indian rupee
• Philippine peso
• Vietnamese dong

The TWI is weighted using bilateral trade in merchandise and services. The TWI is backdated to January 1984 using a consistent methodology.

Nominal TWI

The nominal TWI is calculated on a daily basis and has been rebased to equal the value of the TWI on 31 October 2014 using the old methodology.

Real TWI

The real TWI is calculated on a monthly basis and has been rebased to the monthly average of the TWI in October 2014 (old basis). The official real TWI starts in 1984 but an analytical real TWI starting in 1970 is available in the exchange rate key graph. In 2016 we incorporated several changes to the real TWI (PDF 384KB).

Historical TWI

The historical TWI is "as published" on the day using the method that existed at the time. The method used to construct the official TWI has changed several times

• Prior to 1 January 1999 the TWI was calculated using a five currency basket - USD, GBP, AUD, JPY, and DEM. Weights were based solely on bilateral trade and updated quarterly.
• Between 1 January 1999 and 16 December 2014 the TWI was calculated using a five currency basket - USD, GBP, AUD, JPY, and EUR. Weights were based on both bilateral trade (50 percent) and the size of the trading partner's economy (GDP) (50 percent). Weights are updated annually in December.
• From 17 December 2014 the TWI is calculated using a 17 currency basket - USD, GBP, AUD, JPY, EUR, CAD, CNY, HKD, IDR, KRW, MYR, SGD, THB, TWD, INR, PHP, and VND. Weights are based on bilateral trade and include services data from 2009. Weights are updated annually in December.

The historical TWI starts in July 1986.

Changes to the real TWI

The Reserve Bank’s real trade-weighted index (TWI) is a weighted average of the New Zealand dollar with the currencies of New Zealand’s major trading partners, adjusted for relative inflation. It is calculated on a monthly basis and published in the B1 table and exchange rate key graph.

Today’s release of the real TWI incorporates two changes:

1. New real TWI weights and scale factor for 2018.
2. Updated real TWI weights and scale factor from 1984 to 2017.

The revisions to the real TWI weights from 1984 to 2017 have little impact on the level of the real TWI (Figure 1).

Figure 1: Real TWI (index)

New real TWI weights for 2018

There are 17 currencies included in the TWI and each currency is weighted using the country’s goods and services trade with New Zealand. The weights are updated once a year with the 2018 weights for the real TWI taking effect from December 2017. The real TWI weights have been updated to incorporate revisions to trade data (published by Statistics New Zealand).

Figure 2: Real TWI weights 2018 (%)

Updated real TWI weights pre 2018

The real TWI weights have been updated to incorporate revisions to trade data (published by Statistics New Zealand).

More detail about the TWI methodology can be found in the Reserve Bank Bulletin article, Steenkamp, D (2014) “Measuring New Zealand's effective exchange rate”.

If you have any questions about these changes, please contact the Statistics Unit at stats-info@rbnz.govt.nz.

10 July 2018