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.