The data currently used for currencies is obtained from the Federal Reserve. It is based on an index indicating the dollars strength. There is another possibly more commonly used index, the U.S Dollar Index [1]. It can be found on Yahoo Finance with symbol DX-Y.NYB[2]. This index has been updated only once since it was created to reflect the Euro. Also, there didn't seem to be historical data available for this on Yahoo Finance.
For these reasons I chose the Federal Reserve Trade Weighted Index[3].
More on all of this later. For now I've been looking a little bit at plotting some of the currency
data. This is the Transaction Weighted Index plot. Showing the
surging "king" dollar. This is a plot of selected currencies.
It is based on their value relative to their beginning value in 2000. So value/initial value.
Or in R for example,
tempja <- data$JA/data$JA[1]
A little hard to follow, except all currencies are pretty much at or below their
2000 value. The notable exceptions being the Japanese Yen and Mexican Peso both showing
upward trajectories against the dollar.
Currencies were again selected based on the Federal Reserves trading weights. These are for the most part the largest trading partners of the US.
[1] U.S. Dollar Index.
[2] US Dollar/USDX - Index - Cash (DX-Y.NYB).
[3] Summary Measures of the Foreign Exchange Value of the Dollar.
I believe the 'broad' index is used, I whill have the specific download URL available somewhere.
