Exchange rates are defined as the price of one country’s currency in relation to another country’s currency. This indicator is measured in terms of national currency per US dollar.

See definition: https://data.oecd.org/conversion/exchange-rates.htm

It is also possible to get the data from the Global Macro Database (GMDB) by setting the gmdb_source to True.

Both sources are quoted the same way (national currency per US dollar), but the OECD source omits the United States itself, since the rate is trivially 1, whereas the GMDB source carries it as 1.0. Only the OECD source supports monthly and quarterly frequency; the GMDB is annual only, so the period argument has no effect when gmdb_source is True.

Also known as: currency exchange, FX rates, foreign exchange rates.

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Calculate the Exchange Rates in Python

The Exchange Rates is available in the Economics module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_exchange_rates as shown below.

from financetoolkit import Economics

economics = Economics(start_date='2000-01-01', end_date='2010-12-31')

economics.get_exchange_rates(countries=['Japan', 'Indonesia', "China"])

Which returns:

  Japan Indonesia China
2000 107.835 8394.53 8.2784
2001 121.484 10253 8.2777
2002 125.255 9318.73 8.2771
2003 115.936 8573.73 8.278
2004 108.147 8931.52 8.2782
2005 110.133 9701.29 8.1942
2006 116.354 9164.03 7.9724
2007 117.755 9139.41 7.6074
2008 103.388 9663.87 6.9502
2009 93.5716 10376.8 6.8308
2010 87.7606 9078.03 6.769

Parameters

get_exchange_rates accepts the following parameters:

  • countries (list[str] | str | None, optional): The countries to include in the data. Defaults to None.
  • period (str | None, optional): Whether to return the monthly, quarterly or the annual data.
  • gmdb_source (bool | None, optional): Whether to get the data from the Global Macro Database (GMDB).
  • rolling (int, optional): The rolling window size to use for smoothing the data (simple moving average). Defaults to None.
  • trailing (int, optional): The trailing window size to use for summing the data over trailing periods (e.g. a trailing-4-quarter sum). Defaults to None.
  • growth (bool, optional): Whether to return the growth data or the actual data.
  • lag (int, optional): The number of periods to lag the data by.
  • standardize (bool, optional): Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
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The Economics module page introduces the module, and the sidebar lists all of its functions.

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