Subject:  Measures of the Changing Value of the Dollar
Keywords: dollar, inflation, forex, Currency, "foreign exchange rates", NYBOT, FED, USDX, Store of Value, ...

Measures of the value of the dollar
Measures of the value of the dollar include:

Federal Reserve System Indexes
The discussion and theory of the Fed's indexes is described in an article "New summary measures of the foreign exchange value of the dollar" in the October 1998 Federal Reserve Bulletin. That article is also available here. See also the 2005 paper Indexes of the Foreign Exchange Value of the Dollar which may be the best technical paper on the Fed's indexes.


Here are the Fed's (2007-1973) historical currency weights for its Broad Index and a discussion of how the index has been revised since 1998.  The broad index and the other exchange rate indexes are calculated by staff members of the Federal Reserve Board, and made available  here .

NYBOT U.S. Dollar Index
The NYBOT US Dollar Index usdx is said to be based on the Fed's dollar index. (Which one?!) It is calculated as a geometric weighted average of the change in six foreign currency exchange rates against the U.S. Dollar relative to March 1973. The USDX measures the dollar’s general value relative to a base of 100.00. A quote of ‘105.50’ would suggest that the dollar’s value had risen 5.50% since this base period.

Within NYBOT® U.S. DOLLAR INDEX® RULES, rule 15.01 Index Specifications says:

Rule 15.01. Index Specifications

The U.S. Dollar Index (“USDX®”) will be computed using the following formula, currencies

and currency weights:



Where Spot Ratei=exchange rate of currency i at time t with all exchange rates expressed in

European terms, i.e., units of Foreign Currency per U.S. dollar

and wi=weight for currency i

The six (6) currencies and their weights are:

Currency Weight

Euro ……………………………………. .576

Japanese yen …………………………… .136

British pound sterling ………………….. .119

Canadian dollar ………………………… .091

Swedish krona …………………………. .042

Swiss franc …………………………….. .036


A New York Board of Trade briefing slide titled NYBOT US Dollar Index basket formula shows:

50.14348112 times the product of all components raised to an exponent equal to the % weighting

((EURUSD ^ 0.576) * (JPY ^ 0.136) * (GBP ^ 0.119) * (CAN ^ 0.091)* (SEK ^ 0.042) * (CHF^.036) )



Currency

approx. NYBOT "trade weighted" Weighting

(these numbers are apparently from 2001)

Independent estimate of US trade with this partner

Euro

.576

.115

Japanese_yen

.136


British_pound

.119


Canadian_dollar

.091

.17

Swedish_krona

.042

.014 for Sweden together with Switzerland

Swiss_franc

.036


Chinese Renminbi

0.0


Mexican Peso

0.0


Korean currencies

0.0


New Taiwan Dollar

0.0


Total

1.0 = 100% (The six numbers above do indeed add up to 1.0.)

1.0 = 100% (The numbers above do not add up to 1.0.)









-- or some minor variation of this. The weightings are based on the trade relationships with other G10 countries. The cash NYBOT US Dollar Index is calculated by Reuters when foreign exchange markets are open. (However, searching Reuters for USDX givex zero hits.) Here are previous currency weights.

USDX futures contracts and options on those contracts are traded on the NYBOT.



A New York Board of Trade briefing slide titled NYBOT US Dollar Index basket formula shows:

50.14348112 times the product of all components raised to an exponent equal tothe % weighting

((EURUSD ^ 0.576) * (JPY ^ 0.136) * (GBP ^ 0.119) * (CAN ^ 0.091)* (SEK ^ 0.042) * (CHF^.036) )

Current Values
Info on the value of the US dollar can be found at: