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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
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