Euro Currency Index

Concept
Weighting of the currencies to the euro[1]
Currency Code Weight in %
US-DollarUSD25
British PoundGBP25
Japanese YenJPY25
Swiss FrancCHF25

The Euro Currency Index (EUR_I) represents the arithmetic ratio of four major currencies against the Euro: US-Dollar, British Pound, Japanese Yen and Swiss Franc. All currencies are expressed in units of currency per Euro. The index was launched in 2004 by the exchange portal Stooq.com. Underlying are 100 points on 4 January 1971. Before the introduction of the European single currency on 1 January 1999 an exchange rate of 1 Euro = 1.95583 Deutsche mark was calculated.

Based on the progression, Euro Currency Index can show the strength or weakness of the Euro. A rising index indicates an appreciation of the Euro against the currencies in the currency basket, a falling index in contrast, a devaluation. Relationships to commodity indices are recognizable. A rising Euro Currency Index means a tendency of falling commodity prices. This is especially true for agricultural commodities and the price of oil. Even the prices of precious metals (gold and silver) are correlated with the index.

Arithmetically weighted Euro Currency Index is comparable to the trade-weighted Euro Effective exchange rate index of the European Central Bank (ECB). The index of ECB measures much more accurately the value of the Euro, compared to the Euro Currency Index, since the competitiveness of European goods in comparison to other countries and trading partners is included in it.

Former Euro Currency Indexes

Dow Jones & Company

On September 13, 2005 Dow Jones & Company published two versions of the index, the Dow Jones Euro Currency Index (DJEURO) and the Dow Jones Euro Currency 5 Index (DJEURO5). Under-lyings of each were 100 points on 31 December 1998.[2]

The calculation of the Dow Jones Euro Currency 5 Index was set on 29 August 2008 (last value 121.97 points) [3] and the calculation of the Dow Jones Euro Currency Index on 9 January 2009 (last value 119.41 points).[4]

New York Board of Trade

The Euro Currency Index (ECX, also EURX or EXY) was launched on 13 January 2006 by the New York Board of Trade (NYBOT) and calculated back to 2001.[5] In 2007, the IntercontinentalExchange (ICE) based in Atlanta (USA) changed the name of the stock exchange in IntercontinentalExchange [6] The index was a ratio that compared the value of the Euro by a currency basket of five currencies: US-Dollar (31.55 percent), British Pound (30.56 percent), Japanese Yen (18.91 percent), Swiss Franc (11.13 percent) and Swedish Krona (7.85 percent).[7]

The ECX was the geometrically weighted average compared to these currencies. The formula for the calculation was 34.38805726 multiplied by the product of all components in the basket of currencies, that have been raised to a high number of their percentage, weighting equal to:

ECX = 34.38805726 x (EURUSD^(0.3155) x EURGBP^(0.3056) x EURJPY^(0.1891) x EURCHF^(0.1113) x EURSEK^(0.0785)) [8]

The all-time low was constructed on 6 July 2001, with 83.36 points and the all-time high on July 14, 2008, 123.82 points. On 20 May 2011, the exchange ICE Futures U.S. ended the trading of futures and options on the index.[9] On July 28, 2011, the calculation of the ICE Euro Currency Index was discontinued (last value was 108.88 points).[10]

Historical overview

The Euro Currency Index started on 4 January 1971 with 100 points. Before the introduction of the European single currency on 1 January 1999, an exchange rate of 1 Euro = 1.95583 Deutsche Mark was calculated.

On April 19, 1971, the Euro Currency Index gained 99.67 points calculated with an all-time low. Until 3 December 1979, the index rose by 68.0 percent to 167.43 points. With the depreciation of the Deutsche Mark against the major currencies, the index fell to mid-1980s. On 3 May 1985, the Euro Currency Index was at level 122.26 points, up by 27.0 percent. The strength of the Deutsche Mark against almost all global currencies set the index in the following years to rise again. On 5 October 1992, a value of 195.98 points was determined. The increase in 1985 was 60.3 percent. On 25 October 2000, the index closed at 130.83 points, up by 33.2 percent.

In 2000 began a multi-year upward movement of the Euro. On 29 December 2008, the index marked 209.65 points, an all-time high. The profit since year 2000 is 60.2 percent. In the course of the international financial crisis, from which the U.S. real estate crisis originated in the summer of 2007, the index began to decline. On 6 February 2009 a value of 187.84 points was determined. In the following eight months, the European single currency rebounded from the lows. On 13 October 2009, the index rose by 208.45 points, near its historical high point.

A financial crisis in several member states of the Euro zone in 2010 led to the outbreak of the Euro crisis. Particularly affected is Greece (see Greek government-debt crisis from 2010), but also other countries such as Ireland, Spain, Italy and Portugal. The weakness of the Euro against almost all global currencies caused the index to fall from 29 June 2010 to 175.31 points. In the following months, the European Stability Mechanism was developed, which provides for mutual assistance in case of emergency to avoid the bankruptcy of the Member States. By May 4, 2011, the index rose to a level of 200.20 points. With the intensification of the sovereign debt crisis in the Euro zone, the Euro Currency Index fell 24 July 2012 with 168.38 points, its lowest level since March 29, 2006. Compared to the all-time high of 29 December 2008, this represents a decrease of 19.7 percent .

Yearly trend

The below table shows the annual high, low and closing levels of the back-calculated Euro Currency Index from 1971 until 2012.[11]

Year High Low Close
1971105,7699,67103,79
1972106,91101,56106,28
1973133,42105,57120,13
1974130,80117,11130,45
1975135,29124,48126,66
1976148,74126,67146,40
1977149,30141,95146,82
1978157,31141,08154,70
1979167,43149,97164,67
1980165,01137,39137,70
1981138,94124,77133,45
1982139,52129,83137,91
1983142,93126,48127,08
1984133,20123,55126,24
1985137,49122,26137,49
1986162,47137,02162,47
1987169,77158,97168,30
1988167,61150,35155,18
1989174,94150,48174,76
1990179,22168,80177,45
1991179,08161,18176,62
1992195,98169,03183,87
1993187,92166,07170,41
1994181,33168,27178,22
1995189,22177,77184,99
1996187,67176,47177,83
1997178,89154,92162,30
1998175,18158,28168,33
1999170,77146,99147,23
2000150,34130,83144,25
2001147,75135,56141,40
2002154,17138,90153,79
2003172,59152,55172,06
2004178,19162,30177,23
2005177,49163,65167,23
2006175,37166,24174,84
2007191,00171,38189,41
2008209,65177,50204,78
2009208,45187,84199,47
2010202,21175,31186,11
2011200,24179,67179,89
2012¹185,17168,38180,38

¹ 31. December 2012

References
  1. Stooq: EUR_I Profile
  2. Dow Jones & Company: Dow Jones Indexes to Launch Euro Currency Indexes Archived 10 February 2012 at the Wayback Machine, from 13. September 2005
  3. Finanzen100: Letzter Wert des Dow Jones Euro Currency 5 Index, from 29 August 2008
  4. Finanzen100: Letzter Wert des Dow Jones Euro Currency Index, from 9 January 2009
  5. Forex Limited: ICE Euro Currency Index Archived 29 July 2014 at the Wayback Machine
  6. About.com: The NYBOT Changes Name to ICE Futures U.S., from 4 September 2007
  7. Swiss Futures and Options Association: Swiss Derivatives Review 30 – Spring 2006 Archived 27 March 2012 at the Wayback Machine (PDF; 5,7 MB)
  8. ICE Futures U.S.: ICE Futures Euro Index Rules Archived 4 March 2016 at the Wayback Machine (PDF; 75 kB)
  9. ICE Futures U.S.: Exchange To Delist Euro Index Futures and Options Contracts (PDF; 80 kB), from 20 May 2011
  10. FinData: Letzter Wert des ICE Euro Currency Index, from 28 July 2011
  11. Stooq: Historische Kurse
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