- So on the FX/DXY equivalent side, the short answer is yes there’re similar types of indices, I suggest you check the EMFX MSCI index as an example.
There are plenty of caveats to consider when looking into this indices: like how much are they are really used, which economies they target, and various methodological differences, after all anyone can create them tailored to what they’d like to measure, providers of these indices include:
- Index or Market Data Providers
- Sell Side Institutions
- Economic Think Tanks
- Multilateral Agencies
- Central Banks
The significance and abundance of reference/use of the DXY is driven by the prevalence of USD as reserve currency and risk-off or safe heaven asset.
For this first question you might want to checkout the below:
MS Note from a few years back, it lays out part of the analysis involved in the construction of these baskets in a back of the envelope format.
MSCI’s Note pretty big provider of various indices, also on the older side but gives you some insight into the methodology.
- Now for the FED Funds O/N index question the short answer is kind-of as there are some indices not related to central bank rates but rather govt bond yields, I suggest you check the EMBI G or GD as examples.
To do an index of Central Bank Rates would be a bit trickier because you need to consider policy stance, CB philosophy, other monetary programs, inflation and its expectations, who can access that interest rate as an investment and the FX rates to mention some, that’s why you’d gravitate more towards Bonds (ideally yankees or other hard currency denominated ones) which will (hopefully) carry all this information in their price allowing you to build an index, in fact the EMBI was only creates after the EM crises of the 90s and the appearance of Brady Bonds.
Same other caveats as before apply here, you might also want to check:
JPM Note on the EMBI methodology.
CFR Page on their monetary policy tracker index.
Hope this helps.