Currency conversion for version 1.21 and earlier

This article explains how the feature works in Macrobond version 1.21 and earlier. Please click here for the version 1.22 or higher.

If you’re working with series expressed in a variety of currencies it can be helpful to convert all the series to a single currency. In Macrobond there is a an automatic currency conversion feature you can apply to your entire document. Because of the metadata associated with series expressed as a currency you don’t have to worry about the calculations being performed on any non-currency series. This article focuses on the process behind this functionality.

How are exchange rates determined by the application?

Before taking you through some examples of performing a currency conversion, it’s worthwhile familiarizing yourself with the underlying functionality. This will give you a better understanding of the calculated values you work with. Below we’ll look at which parameters are considered, and the method of conversion, depending on the available data for the action.

Relevant parameters

  • The frequency of the input series
  • The currency the series is expressed in

Options for conversion

  • The application will search for a direct exchange series to calculate the conversion.
  • The application will find an exchange rate series that requires the fewest possible steps to calculate the conversion. Currently all exchange rate series used in Macrobond are specified with USD as the base rate, so in practice most of the exchanges are done via USD.

Series frequency

Finally, the application will search for a series that matches the frequency of the document. Often a document will have series with multiple frequencies. In this case the application will select an exchange rate series with a higher frequency, and uses the first observation of the period to perform the conversion.

Conversion of daily series

In the image below we’ve selected three daily series, to convert to USD. In this case a matching daily series, in USD, will be used to perform the calculation, as per the information above.

Conversion of monthly series

In the next image you can see the conversion of a monthly series to USD. Because the converting series is a daily exchange rate series, the application will simply select a single observation to make the conversion, typically the first available for each monthly period.

Applying a currency conversion to a single series

Using the currency conversion feature in the series list will convert all the appropriate series in your document. However, if you only want to convert select series in your document, use the fx button to access the formula language. This will allow you to apply a formula to divide the series in question by a suitable exchange rate series. You’ll find more information and tutorials on using the formula language in the Formulas in Macrobond section.

See which series was used

If you want to know exactly which series was used to perform the conversion, you can navigate to the forecast tab in Series List. As you can see in the picture below, the FX series used for currency conversion are listed in addition to those added to the series list.

If your series contain forecasts, you can also add forecasts to the series used for the currency conversion. Learn how to add forecasts in the Formulas in Macrobond section.