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The 2009 Revision of the AMU/AMU-wide Basket Currency Weights

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Data Revision

The 2009 Revision of the AMU/AMU-wide Basket Currency Weights

SHIMIZU Junko (RIETI / Senshu University)

Currency weights in the AMU and AMU-wide currency baskets have been revised effective October 1, 2009. Characteristics of the 2009 revision include an increase in the weights of the Chinese yuan and the Indian rupee and a decrease in the weight of the Japanese yen, reflecting the robust growth of emerging economies, namely, China and India, and the sluggishness of the Japanese economy. The details of the revision are as follows:

1. Benchmark periods remain unchanged

First, we reviewed the appropriateness of the benchmark periods used for calculating the values of the AMU and AMU-wide currency baskets and deviation indicators for their respective component currencies. Trade figures for 2007 have been newly included in Table 1 - AMU and Table 1 - AMU-wide shown below. For the purpose of this project, "benchmark period" has been defined as a "period in which each member country's trade balance with the rest in the region as well as Japan's trade balance with the rest in the region are closest to zero." With the data for 2007 included, the period that fits into the above definition is 2001 for the AMU and 1999 for the AMU-wide. Thus, the benchmark periods for both currency baskets remain unchanged.

AMU
Table 1. Trade Accounts of ASEAN10 + 3( Japan, South Korea & China* )
Table 1: Trade Accounts of ASEAN10 + 3(Japan, South Korea & China)
(Notes)
 All figures are calculated by the authors. Trade data from DOT(IMF) and GDP.
*  
 We use DOTS data of "China,P.R.:Mainland" and "China,P.R.:Hong Kong" as data of China.
**  
 The trade account with Japan is the total amount of the trade accounts with 12 East Asian countries.
AMU-wide
Table 1. Trade balances of ASEAN + 3 (Japan, South Korea, and China*) + 3 (Australia, New Zealand, and India)
Table 1 : Trade balances of ASEAN + 3 (Japan, South Korea, and China*) + 3 (Australia, New Zealand, and India)
(Notes)
 All figures are calculated by the authors based on trade data from the IMF Direction of Trade Statistics (DOTS).
*  
 Data for China represents the combined total of data for "China, P.R.: Mainland" and data for "China, P.R.: Hong Kong" provided by the IMF DOTS.
**  
 Figures in the "With Japan" column represent the trade balance of ASEAN 10 plus China and South Korea with Japan.

2. Yearly revision of AMU/AMU-wide basket currency weights

Next, we calculated weights for component currencies in the AMU and AMU-wide baskets based on updated data on each country's shares in trade and gross domestic product (GDP) measured at purchasing-power parity (PPP) that include figures for 2007. Specifically, the values of trade and GDP at PPP have been calculated as the average of those for 2005, 2006, and 2007.

The table below shows the revised weights for component currencies in the AMU basket effective from October 2009. As China's shares in trade and GDP at PPP have increased from 25.32% in the 2008 revision to 26.08% and from 43.18% to 44.97% respectively, the share of the Chinese yuan in the AMU basket has been raised from 34.25%, which was already the largest, to 35.52%. Meanwhile, the share of the Japanese yen, the second largest, has been significantly lowered from 27.7% to 23.12 as Japan's shares in trade and GDP at PPP decreased from 24.12% to 23.12% and from 31.19% to 29.76% respectively. The share of the South Korean won, the third largest, has been little changed from 10.60% to 10.56% with the country's shares in trade and GDP at PPP standing at 13.1% (compared to 12.90% prior to the latest revision) and 8.12% (compared to 8.3%) respectively. There were no significant changes for the other member countries.

AMU
Table 2. Percentage shares and weights of East Asian currencies in the AMU basket
Trade Accounts(net) of ASEAN10 + 3(Japan, Korea & China)
*  
 For the purpose of calculation of each country's trade share, the trade value is given as the three-year average of the dollar-denominated values of exports and imports in 2005, 2006, and 2007 taken from the IMF DOTS.
**  
 For the purpose of calculation of each country's GDP share, the value of GDP measured at PPP is given as the three-year average for 2005, 2006, and 2007 based on data taken from the World Bank's World Development Report.
***  
 Each component currency's benchmark exchange rate is the average of the currency's daily exchange rates against the USD-euro basket for the benchmark period of 2000-01.
****  
 Component currency shares and weights in the AMU are the fifth version updated in October 2009.

The table below shows the revised weights for component currencies in the AMU-wide basket effective from October 2009. Like China discussed above, India increased its shares in both trade and GDP at PPP, from 2.73% to 3.35% and from 15.59% to 16.01% respectively. As a result, the Indian rupee's share in the AMU-wide basket was raised from 5.31% to 5.13%. Australia's share in trade slightly increased from 6.19% to 6.29% but its share in GDP at PPP decreased from 4.44% to 3.98%, resulting in a modest decrease in the Australian dollar's share in the basket from 5.31% to 5.13%. The share of the New Zealand dollar in the AMU-wide basket slightly decreased, reflecting a decrease in the country's shares in both trade and GDP at PPP.

AMU-wide
Table 2. Percentage shares and weights of Asian and Oceanian currencies in AMU-wide basket
Table 2. Trade Accounts(net) of ASEAN10 + 3(Japan, Korea & China)
*  
 For the purpose of calculation of each country's trade share, the trade value is given as the three-year average of the dollar-denominated values of exports and imports in 2005, 2006, and 2007 taken from the IMF DOTS.
**  
 For the purpose of calculation of each country's GDP share, the value of GDP measured at PPP is given as the three-year average for 2005, 2006, and 2007 based on data taken from the World Bank's World Development Report.
***  
 Each component currency's benchmark exchange rate is the average of the currency's daily exchange rates against the USD-euro basket for the benchmark period of 1999-2000.
****  
 Component currency shares and weights in the AMU are the fifth version updated in October 2009.

Changes in the method of calculating AMU/AMU-wide data upon the introduction of an automated calculation system

SHIMIZU Junko (RIETI / Senshu University)

An automatically-programmed system for calculating AMU and AMU-wide data was introduced effective January 2009. In tandem with this, following changes were made to the data calculation method.

  • - Numbers with 10 decimal places are consistently used for the calculation of each component currency's weight in the AMU basket and exchange rates.
  • - In updating currency weights in the AMU, we had previously made some adjustments to ensure the continuity of data. Specifically, weights assigned to component currencies had been adjusted by applying the modification ratio - the ratio of AMU based on old weights to AMU based on new weights as of the time of weight revision - so that figures calculated by using the revised weights would match those calculated by using old weights. However, because these adjustments have had an immaterial impact, we discontinued this practice upon shifting to the automated calculation system.

As a result of these changes in the calculation rules, daily and monthly AMU data calculated under the new rules - including AMU Deviation Indicators and exchange rates - would not necessarily match those of the past. However, our analysis has confirmed that the impact of such discrepancies is minor and insignificant.

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