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When analysing currencies, the data always comes in pairs so it is hard to normalise a multivariate time series of data e.g. if I have GBPvsUSD, EURvsUSD and CADvsUSD then changes in the US economy will affect all these series in a potentially undesirable way.

What is the consensus on instead of using exchange rates to analyse currencies, introducing a conditional variable i.e. the price of gold? We can then analyse the currencies using this to peg them against.

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What you want to look at are interest rates or libor rates not the price of gold. – pyCthon Nov 15 '13 at 4:56

If you are specifically looking to analyze the US dollar, you can use the US dollar index $USDX (or dollar spot index DXY). There are many additional "baskets" for this and other currencies, such as Markit iBoxxFX Trade-Weighted Indices, based on central banks’ basket exchange rates, which

track the performance of a currency against a defined basket of currencies. The following currency indices are calculated: AUD, CAD, CHF, EUR, GBP, JPY, NOK, NZD, SEK and USD. Each basket is limited to the five currencies with the largest weights in the relevant central bank’s official index. The indices enable market participants to express a view on one currency rather than taking bilateral views with single currency crosses.

I think the problem with gold would be that it presumably changes much more [i.e. is much more volatile] than the currencies you're pegging it to.

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