1. Position of the CAD
The important column on this table is the one labeled "Index". The index is a measure of how close the current exchange rate is to the highest and lowest exchange rates for that currency over the last 12 months. A figure of "0" indicates that the currency is trading at its 12 month low, and a figure of "100" indicates that the currency is trading at its 12 month high.On June 2, the Canadian Dollar was near it's 12-month high against the Japanese Yen, Mexican Peso, U.S. Dollar, and British Pound, with index values of 95.4, 90.1, 88.4, and 87.6 respectively. The Dollar is doing much worse against the Euro and Swiss Franc with index values of 48.4, and 21.7. This is a pattern we'll see repeated in the other measures.
2. Appreciation of the CAD
This table is pretty straight forward. You can see if the Canadian Dollar has appreciated (gone up) or depreciated (gone down) in value over the last month, 3 months, or year.The Canadian Dollar hasn't just appreciated against the U.S. Dollar. Over the last 90 days, the Canadian Dollar has appreciated by 7.9% against the U.S. Dollar, but has also appreciated against the Japanese Yen (8.4%) and the British Pound (4.3%) and has stayed steady with respect to the Euro (0.0%). The Canadian Dollar has also appreciated against the Swiss Franc over the last three months (4.4%), but has depricated by the 30 day and 1 year measures. The only currency on the list that the Canadian Dollar has depreciated against in the last 90 days is the Mexican Peso (-0.7%), but the Dollar has greatly appreciated relative to the Peso over the last year (18.6%). The gain in the strength of the Canadian Dollar does not seem to be limited just to the Canadian/American exchange rate.
3. Volatility of the CAD
This measure tells you if exchange rates are rapidly fluctuating, or relatively stable. The "Index" column indicates whether or not the exchange rate is becoming more or less volatile. Unsurprisingly most of the rates have become more volatile as of late, particularly the Canadian-to-American exchange rate. An index value of over 100 is considered volatile. Five of the six rates have been more volatile (U.S. 150.6, Japanese 121.2, Mexican 114.2, British 108.6, European 103.6) and one less so (Swiss 83.2).4. Comovements of the CAD against pairs of currencies
A comovement measure describes the relationship of two exchange rates, such as the Canadian-to-American and Canadian-to-Mexican rates. Exchange rates with a correlation of 1 indicate that if the Canadian dollar appreciates against one currency it will also appreciate against another one. A correlation of -1 indicates just the opposite, that we'll have an appreciation of one rate, and a depreciation of the other rate. A value of 0 indicates no relationship between the two rates.The Canadian-to-Euro exchange rate and the Canadian-to-Swiss exchange rates have been very highly correlated with a correlation coefficient of 0.9512, while the Canadian-to-Japanese and Canadian-to-Mexican exchange rates have not, with a coefficient of 0.0693. These measures are what we would expect, as the economies of the EU and Switzerland are highly integrated, while those of Mexico and Japan are not.
Conclusion
By looking at exchange rate data, we can see that the Canadian Dollar has been performing well against more than just the U.S. Dollar during the first half of 2003. To see why exchange rates fluctuate, please see my A Beginner's Guide to Exchange RatesIf you'd like to ask a question or comment on this story, please use the feedback form.
