BIS Effective Exchange Rate Indices (EER)

The BIS Effective Exchange Rate (EER) indices are trade-weighted exchange rate indices published by the Bank for International Settlements for around 60 economies. Each index averages a currency against a basket of trading partners, weighted by bilateral trade. They come in nominal (NEER) and real (REER, CPI-deflated) flavors, and in a broad basket (64 economies) and a narrow basket (27 economies). The data is free and public. Used in, for example, Kremens, Martin & Varela, where the BIS real effective exchange rate is the RER predictor variable in the long-horizon exchange-rate regressions.

• Cost: free, public.
• API key: none required.
• Coverage: ~60 economies. Narrow basket monthly from 1964; broad basket monthly from 1994. Real (CPI-based) and nominal.
• Home: https://www.bis.org/statistics/eer.htm

Access

The BIS statistics API serves the EER dataflow (WS_EER) as CSV with no authentication. The series key is FREQ.EER_TYPE.EER_BASKET.REF_AREA:

# Real, broad (64-economy) basket, United States, monthly, last 12 obs
curl -sL \
  "https://stats.bis.org/api/v2/data/dataflow/BIS/WS_EER/1.0/M.R.B.US?lastNObservations=12&format=csv"

# Nominal, narrow (27-economy) basket, full history
curl -sL \
  "https://stats.bis.org/api/v2/data/dataflow/BIS/WS_EER/1.0/M.N.N.US?format=csv"

The dimension codes are: FREQ = M (monthly); EER_TYPE = R (real, CPI-deflated) or N (nominal); EER_BASKET = B (broad, 64 economies) or N (narrow, 27 economies); REF_AREA = the ISO-style economy code (US, XM for the euro area, and so on). Returned rows carry TIME_PERIOD (YYYY-MM) and OBS_VALUE (the index level). Bulk CSV for the whole dataflow is also linked from the EER landing page.

Load in Python

import pandas as pd, io, requests

url = ("https://stats.bis.org/api/v2/data/dataflow/BIS/WS_EER/1.0/"
       "M.R.B.US?format=csv")
df = pd.read_csv(io.StringIO(requests.get(url, timeout=60).text))
df["TIME_PERIOD"] = pd.PeriodIndex(df["TIME_PERIOD"], freq="M")
reer = df.set_index("TIME_PERIOD")["OBS_VALUE"]  # real broad US, index level

Gotchas (the ones that bite pipelines)

• Real and nominal are different series; pick deliberately. The real EER deflates the nominal index by relative CPI, so it moves with inflation differentials, not just nominal FX. A paper using “the BIS RER” wants EER_TYPE=R; do not substitute the nominal index. They diverge materially over long horizons.
• Broad versus narrow basket changes both the level and the history. The broad (64-economy) basket starts in 1994; the narrow (27-economy) basket runs back to 1964 but covers fewer partners. They are separate indices with different weights and base periods, so do not splice the narrow history onto the broad series to get a longer sample. Choose one basket and state which.
• An increase means appreciation. The BIS convention is that a rise in the index is an appreciation of the reference economy’s currency (it buys more foreign goods/currency, trade-weighted). This is the opposite sign of some bilateral quote conventions; confirm the direction before signing your regressor.
• It is a rebased index, not a price or a rate. Values are index numbers normalized to a base year (currently averaging 100 over a recent reference period), and BIS periodically rebases and re-weights. Work in log changes or ratios, and re-pull rather than caching a level that may be rebased on the next release.
• Weights are updated in vintages. Trade weights are revised roughly every three years and applied with a chaining method, so the historical index is not frozen. For exact reproduction, record the access date and the basket; a pull a year later can differ in back-history.
• Coverage and start dates differ by economy. Not every economy has both baskets or the full history; emerging-market series often start later. Check the first non-missing TIME_PERIOD for your REF_AREA rather than assuming the basket’s nominal start date.

Dimensions (WS_EER)

Dimension	Code	Meaning
FREQ	M	Monthly (the only frequency)
EER_TYPE	R / N	Real (CPI-deflated) / Nominal
EER_BASKET	B / N	Broad (64 economies) / Narrow (27 economies)
REF_AREA	e.g. US, XM, JP	Reference economy

Citation

Cite the BIS, the EER series (type, basket, economy), the URL, and the access date, for example: Bank for International Settlements, Effective Exchange Rate Indices (real, broad basket, United States), retrieved from https://www.bis.org/statistics/eer.htm, accessed YYYY-MM-DD. Record the type (real/nominal), basket (broad/narrow), and the vintage so the index is reproducible.