Historical TWI weights - B13

The Data: Coverage, Periodicity, and Timeliness

Coverage characteristics

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 currently publishes two TWIs:

1. The official TWI

An index that contains 17 currencies and is weighted using bilateral trade in merchandise and services. When the 17 currency TWI was introduced in December 2014 it was backdated to January 1984 using a consistent methodology.

2. The historical TWI

A series of the TWI "as published" on the day. This series links together a number of different methodologies that have been used through the years to construct the official TWI.

Periodicity

Annual

Timeliness

Weights are calculated annually in mid-December

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.

Integrity

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

Provisional data are italicised. Data are deemed provisional when a series is under review. New data, or revised data, are in bold font. This applies to the summary table only and not excel files. Revisions are generally published when a table is next due to be updated and released. Should revisions need to be made more promptly, a note is posted on the website. Any major changes in methodology are posted on the website as a note.

Quality

Dissemination of documentation on methodology and sources used in preparing statistics

Information about the TWI and the method used to calculate the weights can be found in the following Reserve Bank Bulletin articles.

• White, B (1997), The trade weighted index (TWI) measure of the effective exchange rate, (PDF 1.6 MB)
• (1998) For the record September to December 1998: Revisions to the Reserve Bank of New Zealand Trade Weighted Exchange Rate Index (TWI) (PDF 52KB)
• Hargreaves, D & B. White (1999), Measures of New Zealand's effective exchange rate, (PDF 232 KB)
• Kite, H (2007) A review of the trade weighted exchange rate index (PDF 235KB)
• Steenkamp, D (2014) Measuring New Zealand's effective exchange rate (PDF 435KB)

Trade Weighted Index

Trade weighted index (TWI)

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 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 is published daily in B1 Exchange rates.

TWI weights

Weights for the TWI are calculated annually and published in tables B10 and B13. The Reserve Bank currently publishes the weights for two TWIs:

1. The official TWI

An index that contains 17 currencies and is weighted using bilateral trade in merchandise and services. When the 17 currency TWI was introduced in December 2014 it was backdated to January 1984 using a consistent methodology.

2. The historical TWI

A series of the TWI "as published" on the day. This series links together a number of different methodologies that have been used through the years to construct the official TWI.

Scale factor

The scale factor is calculated to prevent spurious shifts in the TWI that could otherwise occur as a result of the re-weighting. By convention, the rescaling is done using the exchange rates prevailing at 11:10am on the day before the new weights are released. The new scale factor is set so that the TWI with the old weights is equal to the TWI with the new weights at that point in time.

Currencies included in the TWI

There are 17 currencies included in the official TWI:

• 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

Base exchange rates (31 October 2014)

The base exchange rates are at 31 October 2014:

• United States dollar = 0.7840
• UK pound sterling = 0.4900
• Australian dollar = 0.8872
• Japanese yen = 85.72
• European euro = 0.6215
• Canadian dollar = 0.8773
• South Korean won = 826.92
• Chinese renminbi = 4.7938
• Malaysian ringgit = 2.5782
• Hong Kong dollar = 6.0802
• Indonesian rupiah = 9,506.49
• Thai baht = 25.5113
• Singapore dollar = 1.0015
• New Taiwan dollar = 23.8497
• Indian rupee = 48.1690
• Philippine peso = 35.1781
• Vietnamese dong = 16,667.84

TWI weights

Official TWI weights

A new methodology was introduced for the official TWI in December 2014. The weights are backdated to 1984.

• The number of currencies included was increased from five to 17
• Weights for each currency are based on direct bilateral trade with New Zealand
• Data on trade in services was included in the calculation of the weights (from 2009 onwards)

Weights for the reference year are calculated using finalised June year trade data from the previous year (e.g. weights for 2015 were calculated from year ended June 2014 trade data.

Historical TWI weights

From 1983 to 2014 the historical TWI weights were calculated using five currencies:

• United States dollar
• UK pound sterling
• Australian dollar
• Japanese yen
• German deutsche mark (until December 1998)
• European euro (from January 1999)

From 1979 to 1998 the weights were calculated solely on bilateral trade. Between 1999 and 2014 the weights were calculated using bilateral trade (50 percent) and the relative size (GDP) of the trading partner's economy (50 percent). From 2014 the historical weights are calculated using the 17 currencies included in the official TWI. The weights are based on bilateral trade.