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Motivation: I am running a quantitative analysis that requires long-term, exchange rate data.

Problem: Does anyone have methods for dealing with the EURUSD exchange rate prior to the Euro's existence? Is there some "natural" weighting scheme of the various European currencies prior to the Euro that I might use? Or, is there some proxy for the Euro prior to its debut?

Thanks in advance...

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2 Answers

up vote 11 down vote accepted

There was a proxy called the ECU.

You should be able to use the weights on the Wikipedia page to get a time series back to 1979. Alternatively, the St. Louis FRED also provides this time series.

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@idnquant: Thank you! That is exactly what I was looking for. –  agathocles May 1 '11 at 7:26
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Most simply look to the German Mark as a proxy. It should suffice, assuming you don't require detail greater than what OHLC daily periodicity data offers.

A composite of Marks(75%), Francs(15%), Lira(5%) and Pesos(5%) would offer greater granularity if necessary.

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