I am trying to convert various series of returns into one currency (euro). I saw from aprevious post that soemone suggested using conversion factors, where would I find these? Also, given that the euro only goes back so far is there anyway to get a proxy for historic Eurozone returns?

No, can access the fx data - I suppose my question is if your time series is in US dollars and goes back say 40 years and you want it in Euros, what conversion rate would you use given the Euro hasn't been around that long??

  • $\begingroup$ Are you asking for where to find historical FX data? $\endgroup$ – chrisaycock Jul 27 '13 at 18:23
  • $\begingroup$ I am afraid it's impossible to get reliable data if you convert them into Euro for 40 years.Why don't you convert them into dollar? $\endgroup$ – Hebe Jul 30 '13 at 16:53

The best approximation of EUR/USD crossrate is probably Deutsche Mark - USD. However you need to be careful for the period around the creation of the Euro: due to the exchange rate mechanism European currency rates aren't really fully market-based.

I assume you are aware of the Bretton woods system so won't talk about caveats in using currency data too far back (I see you said you have 40 years of USD data, that sounds about right).

  • $\begingroup$ That's interesting point of view! Can you provide some reference/paper that approximate EURUSD exchange rate time series using Deutsche Mark - USD, please? I'm interested to the methodology and the economic justification provided by the authors. @JLi $\endgroup$ – Quantopik Apr 24 '15 at 11:54

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