AMU and AMU Deviation Indicators

Data Revision

SHIMIZU Junko (RIETI / Senshu University)

2013 Revision of the AMU/AMU-wide Basket Currency Weights

February 2014

Currency weights in the Asian Monetary Unit (AMU) and AMU-wide currency baskets were revised effective October 1, 2013. The characteristics of this revision include a slight increase in the weights of the currencies of rapidly growing CMLV countries (Cambodia, Myanmar, Laos, and Vietnam) in addition to the Chinese yuan and the Indian rupee. The weights of the Australian dollar and the New Zealand dollar also increased in the AMU-wide. The weight of the Japanese yen has been declining with its share at 21.98% in the AMU and 18.18% in the AMU-wide respectively, reflecting its slow growth measured both in trade volume and the gross domestic product (GDP) measured at purchasing power parity (PPP) compared with other countries in the AMU and the AMU-wide. Both of the new basket weights are effective retroactive to October 1, 2013.

AMU

Table 2. AMU shares and weights of East Asian Currencies

AMU-wide

Table 2. AMU-wide shares and weights of Asian and Oceanic Currencies

In order to review the appropriateness of the benchmark periods used for calculating the values of the AMU and AMU-wide, trade figures for 2010 have been newly included in Table 1 - AMU and Table 1 - AMU-wide shown below. For the purpose of this project, "benchmark period" is defined as the following: total trade balance of member countries, total trade balance of the member countries (excluding Japan) with Japan, and total trade balance of member countries with the rest of world should be relatively close to zero.

With the data for 2010 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.

Trade Balance of AMU countries

Table 1. Trade Balance of ASEAN10 + 3 (Japan, South Korea & China)

Trade Balance of AMU-wide countries

Table 1. Trade Balance of ASEAN10 + 3(Japan, Korea and China*) + 3 (Australia, New Zealand and India)

2012 Revision of the AMU/AMU-wide Basket Currency Weights

October 2012

Currency weights in the AMU and AMU-wide currency baskets were revised effective October 1, 2012. The characteristics of this 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 the emerging economies, namely, China and India, and the sluggishness of the Japanese economy. The differences between Japanese and Chinese shares in the AMU and in the AMU-wide have widened by above 15% and above 10%, respectively. Both of the new basket weights are effective retroactive to October 1, 2012.

AMU

Table 2. AMU shares and weights of East Asian Currencies

AMU-wide

Table 2. AMU-wide shares and weights of Asian and Oceanic Currencies

In order to review the appropriateness of the benchmark periods used for calculating the values of the AMU and AMU-wide, trade figures for 2010 have been newly included in Table 1 - AMU and Table 1 - AMU-wide shown below. For the purpose of this project, "benchmark period" is defined as the following: total trade balance of member countries, total trade balance of the member countries (excluding Japan) with Japan, and total trade balance of member countries with the rest of world should be relatively close to zero.

With the data for 2010 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.

Trade Balance of AMU countries

Table 1. Trade Balance of ASEAN10 + 3 (Japan, South Korea & China)

Trade Balance of AMU-wide countries

Table 1. Trade Balance of ASEAN10 + 3(Japan, Korea and China*) + 3 (Australia, New Zealand and India)

Temporary Suspension of the AMU Deviation Indicator for the Myanmar Kyat due to its Currency Regime Reform

July 2, 2012

The Central Bank of Myanmar set a new exchange rate of 818 kyats per one U.S. dollar as part of its move to implement a new floating exchange rate system in April 2012. Previously, there were several exchange rates for the Myanmar kyat, including the official rate under the fixed exchange rate system, the informal rate, and the market rate, which was determined in the black market. While the official rate is 6.4 kyats per one U.S. dollar, there is a huge gap between this and the current market rate, which has recently hovered around 800 kyats per one U.S. dollar. However, Datastream, which is used as an exchange rates data source to calculate the Asian Monetary Unit (AMU), does not reflect this change and continues to publish the official rate at the moment. Accordingly, we have removed the AMU Deviation Indicator for the Myanmar kyat from our dataset temporarily until Datastream adopts the new market rate.

It is noted that the basket weight of the Myanmar kyat is very small?0.33% in the AMU and 0.05% in the AMU based on the Chiang Mai Initiative Multilateralization (CMIM) (AMU-cmi)?and changes in its exchange rate do not affect the calculation of the types of AMUs.

2011 Revision of the AMU/AMU-wide Basket Currency Weights and Replacement of Lao Daily Exchange Rate

October 2011

Currency weights in the Asian Monetary Unit (AMU) and AMU-wide currency baskets have been revised, effective October 1, 2011. Characteristics of the 2011 revision include an increase in the weights of the Chinese yuan and the Indian rupee, as well as a decrease in the weight of the Japanese yen. The spread between the share of the Japanese yen and Chinese yuan has expanded to a level exceeding 14% in AMU and 10% in AMU-wide. Both the AMU and AMU-wide basket weights are retroactively effective from October 1, 2011.

AMU

Table 2. AMU shares and weights of East Asian Currencies

AMU-wide

Table 2. AMU-wide shares and weights of Asian and Oceanic Currencies

In order to review the appropriateness of the benchmark periods used for calculating the AMU and AMU Deviation Indicators, trade figures for 2009 have been newly included in both Table 1 (AMU) and Table 2 (AMU-wide) and are reflected below. For purposes of this project, "benchmark period" has been defined as a "period in which (1) each member country's trade balance with the rest in the region, (2) Japan's trade balance with the rest in the region, and (3) the region's trade balance with the rest of the world are closest to zero." With the data for 2009 included, the benchmark 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.

Trade Balance of AMU countries

Table 1. Trade Balance of ASEAN10 + 3 (Japan, South Korea & China)

Trade Balance of AMU-wide countries

Table 1. Trade Balance of ASEAN10 + 3(Japan, Korea and China*) + 3 (Australia, New Zealand and India)

In addition, we decided to replace the Lao daily exchange rate data obtained from Datastream with the data from the Laos central bank because of the large discrepancies between them during the period of January 2000 to mid-2006. As a result, the period of the Laos' AMU Deviation Indicator's sharp decline changed from April 2005 to April 2002, and the degree of decline became rather moderate. There is little influence on the other AMU Deviation Indicators by this change because the basket weight of Laos is small.

Before replacement of Lao exchange rate data

Before replacement of Lao exchange rate data

Before replacement of Lao exchange rate data

Before replacement of Lao exchange rate data

Revision of the AMU-cmi Basket Currency Weights

January 17, 2011

The basket weight of the AMU was revised following an agreement reached in May 2010 on the multilateralization of CMI. This revision is very minor and has almost no effect on the calculation results. As such, all data was replaced retroactively.

2010 Revision of the AMU/AMU-wide Basket Currency Weights

November 19, 2010

Currency weights in the AMU and AMU-wide currency baskets have been revised effective October 1, 2010. Characteristics of the 2010 revision include an increase in the weights of the Chinese yuan and the Indian rupee, as well as 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 spread between the share of the Japanese yen and Chinese yuan has expanded to a level exceeding 10%. Both the AMU and AMU-wide basket weights are retroactively effective from October 1, 2010.

AMU

Table 2. Percentage shares and weights of East Asian currencies in the AMU basket
Percentage shares and weights of East Asian currencies in the AMU basket

* In calculating 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 2006, 2007, and 2008 taken from DOTS (IMF).

** In calculating each country's GDP share, the value of GDP measured at PPP is given as the three-year average for 2006, 2007, and 2008 based on data taken from the World Development Report, World Bank. For Myanmar's share of GDP measured at PPP, due to data constraints, we used the share of trade value.

*** 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 2000-2001.

**** Component currency shares and weights in the AMU were updated in October 2010. This is the sixth version.

AMU-wide

Table 2. Percentage shares and weights of Asian and Oceanian currencies in the AMU -wide basket

* In calculating 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 2006, 2007, and 2008 taken from DOTS (IMF).

** In calculating each country's GDP share, the value of GDP measured at PPP is given as the three-year average for 2006, 2007, and 2008 based on data taken from World Development Report, World Bank. For Myanmar's share of GDP measured at PPP, due to data constraints, we used the share of trade value.

*** 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.

In order to review the appropriateness of the benchmark periods used for revising the AMU/AMU-wide basket currency weights, trade figures for 2008 have been newly included in both Table 1 (AMU) and Table 1 (AMU-wide), and are reflected below. For purposes of this project, "benchmark period" has been defined as a "period in which (1) each member country's trade balance with the rest in the region, (2) Japan's trade balance with the rest in the region, and (3) the region's trade balance with the rest of the world are closest to zero." In calculating the benchmark period, if these criteria lead to different years, a benchmark period based on (1) is adopted.

With the data for 2008 included, the benchmark 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 Balances of ASEAN10 + 3 (Japan, South Korea and China*)

(Notes)All figures are calculated by the authors based on trade data from DOTS (IMF).

* Data for China represents the combined total of data for "China, P.R.: Mainland" and data for "China, P.R.: Hong Kong" provided by DOTS.

** Figures in the "With Japan" column represent the trade balance of 12 East Asian economies with Japan.

AMU-wide

Table 1. Trade Balances of ASEAN10 + 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 DOTS (IMF).

* Data for China represents the combined total of data for "China, P.R.: Mainland" and data for "China, P.R.: Hong Kong" provided by DOTS.

** Figures in the "With Japan" column represent the trade balance of ASEAN and Oceanian 15 economies with Japan.

Updating the Real AMU Deviation Indicators

September 8, 2010

Since September 2005, when RIETI first started to publish Real AMU Deviation Indicators data, AMU data has been calculated using the Consumer Price Index (CPI) data of 11 AMU countries, except those of Brunei and Myanmar. This was due to data constraints at that time. As the statistical frameworks of both countries have been enhanced and their CPI data are now available on a monthly basis, as of September 2010, we will start to calculate the Real AMU Deviation Indicators by employing CPI data from the 13 AMU component countries. The newly published Real AMU Deviation Indicators data now covers all 13 countries, and the data will be revised, dating back to January 2000.

With regard to AMU-cmi, we will now calculate the Real AMU-cmi Deviation Indicators using the CPI data of the 14 AMU-cmi component economies, and the data will be revised, dating back to January 2000. In the case of AMU-wide, we are unfortunately not able to calculate the Real AMU-wide Deviation Indicators because CPI data from two of the component countries, Australia and New Zealand, is only available on a quarterly basis.

Accordingly, we have updated the graphs for the Real AMU Deviation Indicators and the Real AMU-cmi Deviation Indicators. We have decided, however, to exclude Myanmar from the Real AMU-cmi Deviation Indicators graphs because the CPI was more than five times higher than our base month of January 2000 due to high inflation within the country. Myanmar's real monthly data can be found in the Monthly Data section of the AMU website.

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

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* )

(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)

(Notes)All figures are calculated by authors based on trade data from DOT (IMF).

* 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 and Oceanian 15 countries 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

* 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

* 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.