Reference metadata describe statistical concepts and methodologies used for the collection and generation of data. They provide information on data quality and, since they are strongly content-oriented, assist users in interpreting the data. Reference metadata, unlike structural metadata, can be decoupled from the data.
Day-to-day money market interest rates: Averages for the euro area (EONIA = Euro OverNight Index Average), national series for EU countries outside of the euro area, and other national series (Turkey, Japan, United States). 3-month interest rates: Averages for the euro area (EURIBOR), national series for EU countries outside of the euro area, and other national series (Japan, United States).
Euro yield curves (1 year, 5 years, 10 years)
Average for the euro area. The information content of a yield curve reflects the asset pricing process on financial markets.
Maastricht criterion interest rates (long-term government bond yields)
Maastricht criterion bond yields are long-term interest rates, used as a convergence criterion for the European Monetary Union, based on the Maastricht Treaty.
EURO/ECU EXCHANGE RATES
Bilateral exchange rates against the ECU/euro
Bilateral exchange rates against the euro (from 1 January 1999), and against the ECU (up to 31 December 1998): average and end of the period rates. The ECB has stopped the publication of a reference rate for the rouble until further notice, see the ECB website.
Nominal effective series measure changes in the value of a currency against a trade-weighted basket of currencies. A rise in the index means a strengthening of the currency. The index is calculated against different groups of trading partners and for different currencies. It is produced by the European Commission (DG ECFIN).
Real Effective Exchange Rate, REER (37 trading partners, 42 trading partners)
Real effective series are a measure of the change in competitiveness of a country or geographical area, by taking into account the change in costs or prices relative to other countries. A rise in the index means a loss of competitiveness. The index is calculated against different groups of trading partners and for different currencies. It is produced by the European Commission (DG ECFIN).
3.2. Classification system
Interest rates:
Short-term interest rates: The series are based on national methodologies. EONIA and EURIBOR (see https://www.emmi-benchmarks.eu/) follow a European methodology. Both use the same panel of banks.
Euro yield curves: None
Maastricht criterion interest rates: The definition of long-term interest rates to be used in the convergence criteria for EMU was agreed between the European Commission and the European Central Bank (ECB).
Euro yield curves: Only bonds issued by the central government (European System of Accounts 2010: sector code 'S.1311') are selected.
Maastricht criterion interest rates: Central government
Bilateral exchange rates: Not applicable
Effective exchange rates indices: Not applicable
3.4. Statistical concepts and definitions
INTEREST RATES The money market rates shown are reference rates for short-term interest rates on the financial market for loans or deposits. Most series shown are interbank rates.
Day-to-day money market interest rates: Euro area series: The rate is the EONIA (Euro OverNight Index Average), the effective overnight reference rate for the euro, computed as a weighted average of all overnight unsecured lending transactions in the interbank market, initiated within the euro area by the contributing panel banks. EONIA is computed with the help of the European Central Bank. The series start in January 1994. National series: These are usually day-to-day interbank rates. • Denmark: Tomorrow/next rate of national bank interbank interest rate. The series start in January 1997. • Sweden: SEK deposit overnight STIBOR (STockholm InterBank Offered Rate). From January 1985 to February 1991, the money market interest rate corresponded to a daily rate caught at 11.00 a.m. (ask) from the Reuter-system. Thereafter it is Sweden Interbank overnight offered rate (Stibor) average. • United Kingdom: LIBOR (London InterBank Offered Rate) average. The BBA LIBOR is the most widely used benchmark or reference rate for short-term interest rates. It is compiled by the BBA (British Bankers Association) and released to the market at about 11.00 a. m. of each day. LIBOR is the rate of interest at which banks borrow funds from other banks, in marketable size, in the London interbank market. Series start in January 1986.
3-month interest rates: Euro area series: From January 1999, the euro area rates are for 1 to 12-month EURo InterBank Offered Rates. EURIBOR is the benchmark rate of the euro money market that emerged in 1999. It is the rate at which euro interbank term deposits are offered from one prime bank to another and is published at 11.00 a.m. CET for spot value (T+2 days). The rate was first published on 4 January 1999 capturing the value of 30 December 1998. The contributors to EURIBOR are the banks with the highest volume of business in the euro area money markets. The panel of banks consists of: • Banks from EU countries participating in the euro from the outset. • Banks from EU countries not participating in the euro from the outset. • Large international banks from non-EU countries but with important euro area operations. From January 1990 to December 1993: interbank deposit bid rates weighted by GDP. From January 1994 to December 1998: 3-month LIBOR. National series: • Denmark: From January 1970 to June 1988 the series is the interbank deposit bid rates. Thereafter it is CIBOR (Copenhagen InterBank Offered Rate). CIBOR is a reference interest rate for liquidity offered in the interbank market in Denmark on an uncollateralized basis. No CIBOR reporting bank is under an obligation to supply liquidity to other CIBOR reporting banks at its offered rate. CIBOR reporting banks should aim to offer CIBOR rates that reflect the interest rate level as realistically as possible. At 10.30 a.m. of each banking day, CIBOR reporting banks fix a CIBOR rate to two decimal places. The rates are reported to Danmarks Nationalbank (the Danish central bank). Danmarks Nationalbank calculates CIBOR for the individual maturities by omitting the two highest and the two lowest rates and then calculates a simple average of the remaining rates. The rates offered by the individual CIBOR reporting banks are published on the website of Danish Bankers Association after 11.00 a. m. • Sweden: From January 1987 to February 1991: Interbank deposit bid rates. Thereafter STIBOR (STockholm InterBank Offered Rate) average. • Turkey: the day-to-day rate is, until December 2018, the interbank repo market rate. From January 2019 it is the rate for all repo transactions • United Kingdom: The Sterling OIS market uses as its overnight rate reference the "SONIA" (Sterling OverNight Interbank Average) index published by the Wholesale Market Brokers' Association (WMBA). "SONIA" is the daily weighted average of all overnight interbank deposits of more than 5 millions GBP, compiled before 3 p.m. by the seven largest money brokers (about 70% of the market). The British Bankers' Association oversees the calculation. From January 1997 to December 2000, WMBA was publishing the rate, along with associated information, on wire services, in the morning (9.00 a.m.) of the following day. Thereafter the UK series refer to the Interbank overnight offered rate average, calculated from the British Bankers' Association
Euro yield curves (1 year, 5 years, 10 years)
A yield curve, also known as term structure of interest rates, represents the relationship between market remuneration (interest) rates and the remaining time to maturity of debt securities. The information content of a yield curve reflects the asset pricing process on financial markets. When buying and selling bonds, investors include their expectations of future inflation, real interest rates and their assessment of risks. An investor calculates the price of a bond by discounting the expected future cash flows (coupon payments and/or redemption). The European Central Bank (ECB) estimates zero-coupon yield curves for the euro area and also derives forward and par yield curves. A zero coupon bond is a bond that pays no coupon and is sold at a discount from its face value. The zero coupon curve represents the yield to maturity of hypothetical zero coupon bonds, since they are not directly observable in the market for a wide range of maturities. They must therefore be estimated from existing zero coupon bonds and fixed coupon bond prices or yields. The forward curve shows the short-term (instantaneous) interest rate for future periods implied in the yield curve. The par yield reflects hypothetical yields, namely the interest rates the bonds would have yielded had they been priced at par (i.e. at 100). An outlier removal mechanism is applied to bonds that have passed the selection criteria described in 11.1. Bonds are removed if their yields deviate by more than twice the standard deviation from the average yield in the same maturity bracket. Afterwards, the same procedure is repeated.
Maastricht criterion interest rates (long-term government bond yields)
The Maastricht Treaty EMU convergence criterion series relates to interest rates for long-term government bonds denominated in national currencies. Selection guidelines require data to be based on central government bond yields on the secondary market, gross of tax, with a residual maturity of around 10 years. The bond or the bonds of the basket have to be replaced regularly to avoid any maturity drift.
EURO/ECU EXCHANGE RATES
Bilateral exchange rates against the ECU/euro
The ECU, a basket of EU currencies, was replaced by the euro at a rate of 1:1 on 1 January 1999. From that date, the currencies of the euro-area became sub-divisions of the euro at irrevocably fixed rates of conversion. It should be pointed out that prior to 1979 the exchange rates refer to the European Unit of Account (EUA) and not the ECU. However, the ECU’s value and composition when it was introduced, was identical to that of the EUA. The EUA officially came into existence on 28th June 1974, when it was equal to 1 SDR (Special Drawing Right). The euro exchange rate series are mostly reference rates published by the ECB and the Bundesbank. However, the exchange rates for Albania, Republic of North Macedonia, and Serbia are provided by the respective national central bank. The exchange rate of Bosnia and Herzegovina is fixed against the euro. Montenegro and Kosovo, not shown in the table, uses the euro as their currency.
The nominal effective exchange rates (NEERs) of a country or currency area aim to track changes in the value of that country’s currency relative to the currencies of its principal trading partners. NEERs of the euro are geometric weighted averages of the bilateral exchange rates of the euro against the currencies of the euro area’s main trading partners. Hence, they provide a summary measure of the euro’s value vis-à-vis these currencies.
Real Effective Exchange Rate, REER (37 trading partners, 42 trading partners)
The real effective exchange rates (REERs) aim to assess a country’s (or currency area’s) price or cost competitiveness relative to its principal competitors in international markets. REERs of the euro are the nominal effective exchange rates (NEERs) deflated by consumer price indices (CPIs). They are commonly used indicators of international price and cost competitiveness. Monthly, quarterly and annual data are available for the following partners:
• EA20 – 20 trading partners (euro area from 2023) • EU27 – 27 trading partners (European Union from 2020) • IC37 – 37 trading partners (industrial countries): EU27 + 10 industrial countries (Australia, Canada, United States, Japan, Norway, New Zealand, Mexico, Switzerland, United Kingdom and Turkey) • IC42 – 42 trading partners (industrial countries): IC37 + 5 industrial countries (Russia, China, Brazil, South Korea and Hong Kong).
3.5. Statistical unit
Interest rates:
Short-term interest rates: Reporting banks
Euro yield curves: Not applicable
Maastricht criterion interest rates: Not applicable
Bilateral exchange rates: Not applicable
Effective exchange rates indices: Index 2015 = 100
3.6. Statistical population
Interest rates:
Short-term interest rates: All panels of reporting banks
Euro yield curves: Euro area central government bonds. Two types of bonds are available. One series is based on AAA-rated bonds, i.e. debt securities with the most favourable credit risk assessment. The other series is based on all (AAA-rated and other) euro area central government bonds.
Maastricht criterion interest rates: Not applicable
Bilateral exchange rates: Not applicable
Effective exchange rates indices: Industrial countries
3.7. Reference area
Interest rates:
Short-term interest rates: Euro area aggregate, EU Member States, Turkey, Japan (only 3-month), United States (only 3-month). Data after 1999 cover euro area and national series for the EU Member States which are not members of the euro area. Before 1999, national series for all EU Member States are available. Prior to 1999, Luxembourg is not included in the aggregate calculations. The same rate was used for Luxembourg and Belgium before 1999, as both countries were members of the Belgium-Luxembourg Economic Union (BLEU) and monetary association.
Euro yield curves: Euro area and EU aggregates, Member States and United Kingdom
Maastricht criterion interest rates: Euro area and EU aggregates, EU Member States except Estonia
Bilateral exchange rates: Non-euro area European Union Member States, EFTA countries, EU candidate countries, other countries
Effective exchange rates indices: European Union – 27 countries, euro area – 20 countries (from 2023), EU Member States, Norway, Switzerland, Turkey, United Kingdom, Australia, Brazil, Canada, China (including Hong Kong), Hong Kong, Japan, Mexico, Russia, New Zealand, South Korea, United States
3.8. Coverage - Time
Interest rates:
Short-term interest rates: The length of the time series varies considerably. Most of the series start after 1995. However, some start as early as January 1970.
Euro yield curves: The daily yield curves are available as of 6 September 2004, and are calculated and released daily according to the TARGET calendar.
Maastricht criterion interest rates: The length of the time series varies considerably. In general, the national series for Member States joining the EU before 2004 are much longer than for the Member States joining 2004 or later. The longest series for daily Maastricht criterion bond yields start on 1 January 1980.
Bilateral exchange rates: Exchange rates against the Euro/ECU. Daily rates are available for the ECU from 1 July 1974 to 31 December 1998 and EUR from 4 January 1999, against a large number of currencies. However, monthly average series starts in January 1971: from that date until June 1974 these are theoretical EUA rates based on the EUA basket.
Effective exchange rates indices: Series start in 1994.
3.9. Base period
Effective exchange rates indices: Average of 2015 = 100
Other indicators: Not applicable
Interest rates: Percentages per annum
Bilateral exchange rates: ECU/euro and national currency
Effective exchange rates indices: Indices
All series are monthly.
6.1. Institutional Mandate - legal acts and other agreements
Interest rates:
Short-term interest rates: No specific rules apply
Euro yield curves: No specific rules apply
Maastricht criterion interest rates: The legal basis is the Article 121 of the Treaty establishing the European Community and Protocol on the convergence criteria.
Bilateral exchange rates: Council Regulation (EC) No 1478/2000 of 19 June 2000 amending Regulation (EC) No 2866/98 on the conversion rates between the euro and the currencies of the Member States adopting the euro
Effective exchange rates indices: Use in economic analyses and forecasts of the European Commission. Inclusion of REER in the list of indicators for the Macroeconomic Imbalance Procedure (MIP).
6.2. Institutional Mandate - data sharing
Euro yield curves: The dataset is received from the ECB as part of a memorandum of understanding.
Effective exchange rates indices: Under a memorandum of understanding, the Macroeconomic Imbalance Procedure indicators are shared with the European Central Bank.
Other indicators: Not applicable
7.1. Confidentiality - policy
Regulation (EC) No 223/2009 on European statistics (recital 24 and Article 20(4)) of 11 March 2009 (OJ L 87, p. 164), stipulates the need to establish common principles and guidelines ensuring the confidentiality of data used for the production of European statistics and the access to those confidential data with due account for technical developments and the requirements of users in a democratic society.
7.2. Confidentiality - data treatment
Not applicable.
8.1. Release calendar
3-month interest rates, long-term government bond yields (Maastricht criterion interest rates): the precise date of release each month of these series is disseminated in the Euro indicator release calendar on the Eurostat website.
Euro yield curves: Daily data are released on the euro yield curve pages of the Eurostat website each day (t+2 days).
Bilateral exchange rates: The ECB applies the following rules for the euro reference rates. The reference rates are usually updated around 16:00 CET on every working day, except on TARGET closing days. They are based on a regular daily concertation procedure between central banks across Europe, which normally takes place at 14:15 CET. They are then published on the ECBs website. There are available release calendars in national central banks and in the Bundesbank websites. The euro area national central banks may publish more comprehensive lists of euro reference exchange rates than that published by the ECB.
Effective exchange rates: A release calendar is not available.
In line with the Community legal framework and the European Statistics Code of Practice, Eurostat disseminates European statistics on Eurostat’s website (see principle 10 – ‘Accessibility and Clarity’) respecting professional independence and in an objective, professional and transparent manner in which all users are treated equitably. The detailed arrangements are governed by the Eurostat’s Protocol on impartial access to Eurostat data for users.
Monthly
10.1. Dissemination format - News release
Eurostat does not normally produce news releases on monetary and financial indicators. The European Central Bank produces a monthly news releases on monetary developments in the euro area.
‘Selected datasets’ offer a selection of the most important data in a user-friendly way. All data are presented in simple two or three dimensional tables.
‘Detailed datasets’ contains the full range of data publically available. They are presented in multi-dimensional tables with various selection features and export formats.
Maastricht criterion interest rates: Details of the selection criteria for the EMU convergence series, including the yield formula used may be obtained from European Central Bank.
Bilateral exchange rates: For documentation on methodology please consult:
Effective exchange rates: Eurostat’s mission is to provide the European Union with a high-quality statistical information service (see ESS quality framework).
Other indicators: Not applicable
11.1. Quality assurance
Effective exchange rates:The entire dataset is recalculated and checked every month by the DG ECFIN, as component series are frequently revised.
Other indicators: Not available.
11.2. Quality management - assessment
Not available.
12.1. Relevance - User Needs
Interest rates:
Short-term interest rates: Various
Euro yield curves: The slope of the yield curve gives an idea of future interest rate changes and economic activity. The euro yield curve is used as the only official source on government bond yields in the euro area.
Maastricht criterion interest rates: Convergence reports of the European Central Bank and the European Commission.
Bilateral exchange rates: The bilateral exchange rates of the euro are used by the public at large. Other statistical domains use the bilateral exchange rates for compiling European and EU aggregates.
Effective exchange rates indices: The NEER tracks changes in the value of a country’s currency relative to the currencies of its principal trading partners. The REER is used as competitiveness indicator. The series are used in European Commission economic analyses and forecasts. The REER is also included in the MIP indicators.
12.2. Relevance - User Satisfaction
Bilateral exchange rates: An analysis of the web traffic shows that exchange rate pages are mainly visited and that bilateral euro exchange rates data are largely extracted. Internal users commonly use the statistics as input for analysis and calculation of European and EU aggregates according to the 2020 user survey conducted by unit C2.
Other indicators: Not available.
12.3. Completeness
Interest rates:
Short-term interest rates: Data availability varies depending on the country and the indicator. There is a good coverage since 2000. A few series are discontinued.
Euro yield curves: The data collection covers all the business days since 29 December 2006.
Maastricht criterion interest rates: The collection is complete.
Bilateral exchange rates: Daily data start in 2001. Data cover only periods with convertible currencies.
Effective exchange rates indices: The data are calculated for all the countries and areas included covering the entire time span i.e. starting 1994.
13.1. Accuracy - overall
Euro yield curves:Due to the high number of bonds used for calculating the yields the accuracy is very high up to 10 years maturity. For longer maturities the number of bonds available for calculation is smaller.
Bilateral exchange rates are not revised.
Effective exchange rates indices: Due to frequent updates of the basic data even historic data change frequently, ensuring accuracy over the time series. There is no standard methodology available. As a result effective exchange rate collections can vary between different compilers: DG ECFIN, ECB, IMF and others.
Other indicators: Not applicable
13.2. Sampling error
Not applicable.
13.3. Non-sampling error
Not applicable.
14.1. Timeliness
Interest rates:
Short-term interest rates: Normally within 15 days.
Euro yield curves: Normally within 2 days
Maastricht criterion interest rates: Monthly data around 10 days after the end of the corresponding period.
Bilateral exchange rates against the ECU/euro: The exchange rates provided by the ECB are updated every business day and generally published within 2 days (t+2). For Albania, Serbia and North Macedonia the exchange rates are available within a week from the end of the month.
Effective exchange rates indices: Depending on the availability of the basic data around 1 month after the reference period (t+1).
14.2. Punctuality
Updates are usually implemented as scheduled for data with a calendar release.
15.1. Comparability - geographical
Interest rates:
Short-term interest rates: Data can be used for regional comparison.
Euro yield curves: Other countries and areas outside the euro area follow different concepts of yield estimations.
Maastricht criterion interest rates: Series are fully comparable between countries. There may be some differences in definition of bonds.
Bilateral exchange rates: Full comparability for most currencies.
Effective exchange rates indices: Due to use of an index with base period, caution must be used for any geographical comparison. In terms of methodology, geographical comparability is reasonable.
15.2. Comparability - over time
Euro yield curves:The data can be easily compared over time since 6 September 2004.
Bilateral exchange rates: Full comparability for most of the time series.
Effective exchange rates: Although the comparability over time of the data can be considered as very high, methodological changes occur and have a limited effect on the overall pattern of REER indicators. Each time these occur, recalculations under the new definitions are performed for the whole time series, safeguarding time series without break.
Other indicators: Generally the data are fully comparable over time. Significant series breaks are flagged.
15.3. Coherence - cross domain
Short-term interest rates: In Key indicators on EU policy - Short-term indicators - Monetary and financial indicators and in General statistics - European and national short term indicators - Monetary and financial indicators monthly averages of day-to-day and 3-month interest rates are available.
Euro yield curves: Daily data are released on the euro yield curve pages of the Eurostat website each day.
Bilateral exchange rates: Full comparability for all Eurostat domains as they use identical data sources.
Effective exchange rates: The series should be coherent with the component data from other domains. However, there is no standard methodology for producing NEER and REER statistics.
Other indicators:Generally the data should be fully coherent with the European Central Bank and national sources.
15.4. Coherence - internal
Effective exchange rates: The series should be coherent with the component data.
Other indicators: Not applicable.
Maastricht criterion interest rates:The data is calculated based on market data.
Other indicators: Not applicable.
17.1. Data revision - policy
All data disseminated consist of data already disseminated in Eurobase by the domains:
EMU convergence criterion series
Short-term interest rates
Euro yield curves
Euro/ECU exchange rates
Effective exchange rates indices
The revision policy is therefore effectively the revision policy of this domain.
17.2. Data revision - practice
The revision practice effectively corresponds to the revision practice of the domain listed under sub‑concept 17.1 (data revision – policy).
18.1. Source data
Interest rates:
Short-term interest rates: Figures for the EU Member States, United States and Japan are collected by the ECB and transmitted to Eurostat by electronic means.
The source of data for Turkey is the National Central Bank. For Turkey, the annual and quarterly data are calculated by the National Central Bank as an average of the monthly data.
Data prior to 1999 were obtained from the money market and collected directly by the European Commission.
The type of survey depends on the national methodology.
Maastricht criterion interest rates: Daily and monthly long term interest rates convergence series data are collected by the European Central Bank (ECB) from the national central banks. The ECB also calculates the EU aggregate series, based on the data of the national central banks. In addition, for the euro area aggregates, daily data on representative long-term government bonds are collected on the markets by the ECB, which is responsible for the calculation of these aggregates. The country and aggregate data are transmitted to Eurostat by electronic means.
Bilateral exchange rates: Data are taken from the European system of central banks or other national central banks. Until 31 December 1998 these exchange rates refer to the ECU and the source was the European Commission.
Effective exchange rates indices:
The source for the effective exchange rate collection is DG ECFIN of the European Commission.
Concerning component data, bilateral exchange rates for the current year are the official daily rates recorded at 14:15 hours by the ECB. Historical exchange rates are provided by the IFS (IMF) database. For the period before 1999, a weighted average of the currencies of the Member States now participating in the euro area is used as a proxy for the euro.
Weights are derived using data on bilateral exports from the IMF DoT database and on domestic production from national accounts.
18.2. Frequency of data collection
Series are all monthly, but the following series are based on daily data collection by the ECB: euro yields, long-term interest rate, exchange rates vs. euro.
18.3. Data collection
Interest rates:
Short-term interest rates: The techniques of data collection depend on the national methodology. For EONIA and Euribor see https://www.emmi-benchmarks.eu/
Euro yield curves: Online by EuroMTS and the European Central Bank.
Maastricht criterion interest rates: Daily
Bilateral exchange rates: File transmissions by the ECB and national central banks.
Short-term interest rates: Data may be checked with National authorities, the ECB and the FBE (European banking association).
Euro yield curves: The ECB uses quality checking procedures as described in 12.1.
Maastricht criterion interest rates: Data may be checked with the ECB and/or National central banks.
Bilateral exchange rates: The ECB, the Bundesbank and the national central banks perform all necessary checks.
Effective exchange rates indices: The data validation is performed within the European Commission (DG ECFIN).
18.5. Data compilation
Interest rates:
Short-term interest rates: Until December 1998, the euro area series is the weighted average of country data.
Euro yield curves: see ECB page: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html
Maastricht criterion interest rates: Data are interest rates.
From January 1999, the weightings for the euro area are based on each country’s nominal stock of government bonds of around 10 years’ maturity.
For EU aggregates and before 1999 for the euro area, the weightings used are national GDP at current prices and purchasing power standards.
The ECB calculates the EU aggregate series, based on the data of the national central banks.
In addition, for the euro area aggregates, daily data on representative long-term government bonds are collected on the markets by the ECB, which calculates this aggregate.
Bilateral exchange rates: Not applicable
Effective exchange rates indices: The EU27 and EA20 aggregates are calculated by taking as weights each country’s share of extra-EU or extra-EMU trade. Double export weights are used to calculate NEER and REER, reflecting not only competition in the home markets of the various competitors, but also competition in export markets elsewhere. Note that the series for individual euro area countries continue beyond the establishment of the monetary union: their effective exchange rates will continue to vary because of differing trade patterns and cost or price trends.
18.6. Adjustment
None of the series are seasonally adjusted.
Interest rates:
Short-term interest rates: For the national series of euro area countries before January 1999 there are series breaks in some series.
Euro yield curves: The ECB is presenting the euro yield curve on its website: http://www.ecb.de/stats/money/yc/html/index.en.html, together with graphical information and information on monthly maturities ranging from three months up to and including 30 years of residual maturity.
Bilateral exchange rates: In order to derive a continuous time series in a former national currency from the relevant series in ECU/euro, the data in euro should be converted at the fixed conversion rate for the period after the adoption of the euro.
Day-to-day money market interest rates: Averages for the euro area (EONIA = Euro OverNight Index Average), national series for EU countries outside of the euro area, and other national series (Turkey, Japan, United States). 3-month interest rates: Averages for the euro area (EURIBOR), national series for EU countries outside of the euro area, and other national series (Japan, United States).
Euro yield curves (1 year, 5 years, 10 years)
Average for the euro area. The information content of a yield curve reflects the asset pricing process on financial markets.
Maastricht criterion interest rates (long-term government bond yields)
Maastricht criterion bond yields are long-term interest rates, used as a convergence criterion for the European Monetary Union, based on the Maastricht Treaty.
EURO/ECU EXCHANGE RATES
Bilateral exchange rates against the ECU/euro
Bilateral exchange rates against the euro (from 1 January 1999), and against the ECU (up to 31 December 1998): average and end of the period rates. The ECB has stopped the publication of a reference rate for the rouble until further notice, see the ECB website.
Nominal effective series measure changes in the value of a currency against a trade-weighted basket of currencies. A rise in the index means a strengthening of the currency. The index is calculated against different groups of trading partners and for different currencies. It is produced by the European Commission (DG ECFIN).
Real Effective Exchange Rate, REER (37 trading partners, 42 trading partners)
Real effective series are a measure of the change in competitiveness of a country or geographical area, by taking into account the change in costs or prices relative to other countries. A rise in the index means a loss of competitiveness. The index is calculated against different groups of trading partners and for different currencies. It is produced by the European Commission (DG ECFIN).
27 November 2023
INTEREST RATES The money market rates shown are reference rates for short-term interest rates on the financial market for loans or deposits. Most series shown are interbank rates.
Day-to-day money market interest rates: Euro area series: The rate is the EONIA (Euro OverNight Index Average), the effective overnight reference rate for the euro, computed as a weighted average of all overnight unsecured lending transactions in the interbank market, initiated within the euro area by the contributing panel banks. EONIA is computed with the help of the European Central Bank. The series start in January 1994. National series: These are usually day-to-day interbank rates. • Denmark: Tomorrow/next rate of national bank interbank interest rate. The series start in January 1997. • Sweden: SEK deposit overnight STIBOR (STockholm InterBank Offered Rate). From January 1985 to February 1991, the money market interest rate corresponded to a daily rate caught at 11.00 a.m. (ask) from the Reuter-system. Thereafter it is Sweden Interbank overnight offered rate (Stibor) average. • United Kingdom: LIBOR (London InterBank Offered Rate) average. The BBA LIBOR is the most widely used benchmark or reference rate for short-term interest rates. It is compiled by the BBA (British Bankers Association) and released to the market at about 11.00 a. m. of each day. LIBOR is the rate of interest at which banks borrow funds from other banks, in marketable size, in the London interbank market. Series start in January 1986.
3-month interest rates: Euro area series: From January 1999, the euro area rates are for 1 to 12-month EURo InterBank Offered Rates. EURIBOR is the benchmark rate of the euro money market that emerged in 1999. It is the rate at which euro interbank term deposits are offered from one prime bank to another and is published at 11.00 a.m. CET for spot value (T+2 days). The rate was first published on 4 January 1999 capturing the value of 30 December 1998. The contributors to EURIBOR are the banks with the highest volume of business in the euro area money markets. The panel of banks consists of: • Banks from EU countries participating in the euro from the outset. • Banks from EU countries not participating in the euro from the outset. • Large international banks from non-EU countries but with important euro area operations. From January 1990 to December 1993: interbank deposit bid rates weighted by GDP. From January 1994 to December 1998: 3-month LIBOR. National series: • Denmark: From January 1970 to June 1988 the series is the interbank deposit bid rates. Thereafter it is CIBOR (Copenhagen InterBank Offered Rate). CIBOR is a reference interest rate for liquidity offered in the interbank market in Denmark on an uncollateralized basis. No CIBOR reporting bank is under an obligation to supply liquidity to other CIBOR reporting banks at its offered rate. CIBOR reporting banks should aim to offer CIBOR rates that reflect the interest rate level as realistically as possible. At 10.30 a.m. of each banking day, CIBOR reporting banks fix a CIBOR rate to two decimal places. The rates are reported to Danmarks Nationalbank (the Danish central bank). Danmarks Nationalbank calculates CIBOR for the individual maturities by omitting the two highest and the two lowest rates and then calculates a simple average of the remaining rates. The rates offered by the individual CIBOR reporting banks are published on the website of Danish Bankers Association after 11.00 a. m. • Sweden: From January 1987 to February 1991: Interbank deposit bid rates. Thereafter STIBOR (STockholm InterBank Offered Rate) average. • Turkey: the day-to-day rate is, until December 2018, the interbank repo market rate. From January 2019 it is the rate for all repo transactions • United Kingdom: The Sterling OIS market uses as its overnight rate reference the "SONIA" (Sterling OverNight Interbank Average) index published by the Wholesale Market Brokers' Association (WMBA). "SONIA" is the daily weighted average of all overnight interbank deposits of more than 5 millions GBP, compiled before 3 p.m. by the seven largest money brokers (about 70% of the market). The British Bankers' Association oversees the calculation. From January 1997 to December 2000, WMBA was publishing the rate, along with associated information, on wire services, in the morning (9.00 a.m.) of the following day. Thereafter the UK series refer to the Interbank overnight offered rate average, calculated from the British Bankers' Association
Euro yield curves (1 year, 5 years, 10 years)
A yield curve, also known as term structure of interest rates, represents the relationship between market remuneration (interest) rates and the remaining time to maturity of debt securities. The information content of a yield curve reflects the asset pricing process on financial markets. When buying and selling bonds, investors include their expectations of future inflation, real interest rates and their assessment of risks. An investor calculates the price of a bond by discounting the expected future cash flows (coupon payments and/or redemption). The European Central Bank (ECB) estimates zero-coupon yield curves for the euro area and also derives forward and par yield curves. A zero coupon bond is a bond that pays no coupon and is sold at a discount from its face value. The zero coupon curve represents the yield to maturity of hypothetical zero coupon bonds, since they are not directly observable in the market for a wide range of maturities. They must therefore be estimated from existing zero coupon bonds and fixed coupon bond prices or yields. The forward curve shows the short-term (instantaneous) interest rate for future periods implied in the yield curve. The par yield reflects hypothetical yields, namely the interest rates the bonds would have yielded had they been priced at par (i.e. at 100). An outlier removal mechanism is applied to bonds that have passed the selection criteria described in 11.1. Bonds are removed if their yields deviate by more than twice the standard deviation from the average yield in the same maturity bracket. Afterwards, the same procedure is repeated.
Maastricht criterion interest rates (long-term government bond yields)
The Maastricht Treaty EMU convergence criterion series relates to interest rates for long-term government bonds denominated in national currencies. Selection guidelines require data to be based on central government bond yields on the secondary market, gross of tax, with a residual maturity of around 10 years. The bond or the bonds of the basket have to be replaced regularly to avoid any maturity drift.
EURO/ECU EXCHANGE RATES
Bilateral exchange rates against the ECU/euro
The ECU, a basket of EU currencies, was replaced by the euro at a rate of 1:1 on 1 January 1999. From that date, the currencies of the euro-area became sub-divisions of the euro at irrevocably fixed rates of conversion. It should be pointed out that prior to 1979 the exchange rates refer to the European Unit of Account (EUA) and not the ECU. However, the ECU’s value and composition when it was introduced, was identical to that of the EUA. The EUA officially came into existence on 28th June 1974, when it was equal to 1 SDR (Special Drawing Right). The euro exchange rate series are mostly reference rates published by the ECB and the Bundesbank. However, the exchange rates for Albania, Republic of North Macedonia, and Serbia are provided by the respective national central bank. The exchange rate of Bosnia and Herzegovina is fixed against the euro. Montenegro and Kosovo, not shown in the table, uses the euro as their currency.
The nominal effective exchange rates (NEERs) of a country or currency area aim to track changes in the value of that country’s currency relative to the currencies of its principal trading partners. NEERs of the euro are geometric weighted averages of the bilateral exchange rates of the euro against the currencies of the euro area’s main trading partners. Hence, they provide a summary measure of the euro’s value vis-à-vis these currencies.
Real Effective Exchange Rate, REER (37 trading partners, 42 trading partners)
The real effective exchange rates (REERs) aim to assess a country’s (or currency area’s) price or cost competitiveness relative to its principal competitors in international markets. REERs of the euro are the nominal effective exchange rates (NEERs) deflated by consumer price indices (CPIs). They are commonly used indicators of international price and cost competitiveness. Monthly, quarterly and annual data are available for the following partners:
• EA20 – 20 trading partners (euro area from 2023) • EU27 – 27 trading partners (European Union from 2020) • IC37 – 37 trading partners (industrial countries): EU27 + 10 industrial countries (Australia, Canada, United States, Japan, Norway, New Zealand, Mexico, Switzerland, United Kingdom and Turkey) • IC42 – 42 trading partners (industrial countries): IC37 + 5 industrial countries (Russia, China, Brazil, South Korea and Hong Kong).
Interest rates:
Short-term interest rates: Reporting banks
Euro yield curves: Not applicable
Maastricht criterion interest rates: Not applicable
Bilateral exchange rates: Not applicable
Effective exchange rates indices: Index 2015 = 100
Interest rates:
Short-term interest rates: All panels of reporting banks
Euro yield curves: Euro area central government bonds. Two types of bonds are available. One series is based on AAA-rated bonds, i.e. debt securities with the most favourable credit risk assessment. The other series is based on all (AAA-rated and other) euro area central government bonds.
Maastricht criterion interest rates: Not applicable
Bilateral exchange rates: Not applicable
Effective exchange rates indices: Industrial countries
Interest rates:
Short-term interest rates: Euro area aggregate, EU Member States, Turkey, Japan (only 3-month), United States (only 3-month). Data after 1999 cover euro area and national series for the EU Member States which are not members of the euro area. Before 1999, national series for all EU Member States are available. Prior to 1999, Luxembourg is not included in the aggregate calculations. The same rate was used for Luxembourg and Belgium before 1999, as both countries were members of the Belgium-Luxembourg Economic Union (BLEU) and monetary association.
Euro yield curves: Euro area and EU aggregates, Member States and United Kingdom
Maastricht criterion interest rates: Euro area and EU aggregates, EU Member States except Estonia
Bilateral exchange rates: Non-euro area European Union Member States, EFTA countries, EU candidate countries, other countries
Effective exchange rates indices: European Union – 27 countries, euro area – 20 countries (from 2023), EU Member States, Norway, Switzerland, Turkey, United Kingdom, Australia, Brazil, Canada, China (including Hong Kong), Hong Kong, Japan, Mexico, Russia, New Zealand, South Korea, United States
All series are monthly.
Euro yield curves:Due to the high number of bonds used for calculating the yields the accuracy is very high up to 10 years maturity. For longer maturities the number of bonds available for calculation is smaller.
Bilateral exchange rates are not revised.
Effective exchange rates indices: Due to frequent updates of the basic data even historic data change frequently, ensuring accuracy over the time series. There is no standard methodology available. As a result effective exchange rate collections can vary between different compilers: DG ECFIN, ECB, IMF and others.
Other indicators: Not applicable
Interest rates: Percentages per annum
Bilateral exchange rates: ECU/euro and national currency
Effective exchange rates indices: Indices
Interest rates:
Short-term interest rates: Until December 1998, the euro area series is the weighted average of country data.
Euro yield curves: see ECB page: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_area_yield_curves/html/index.en.html
Maastricht criterion interest rates: Data are interest rates.
From January 1999, the weightings for the euro area are based on each country’s nominal stock of government bonds of around 10 years’ maturity.
For EU aggregates and before 1999 for the euro area, the weightings used are national GDP at current prices and purchasing power standards.
The ECB calculates the EU aggregate series, based on the data of the national central banks.
In addition, for the euro area aggregates, daily data on representative long-term government bonds are collected on the markets by the ECB, which calculates this aggregate.
Bilateral exchange rates: Not applicable
Effective exchange rates indices: The EU27 and EA20 aggregates are calculated by taking as weights each country’s share of extra-EU or extra-EMU trade. Double export weights are used to calculate NEER and REER, reflecting not only competition in the home markets of the various competitors, but also competition in export markets elsewhere. Note that the series for individual euro area countries continue beyond the establishment of the monetary union: their effective exchange rates will continue to vary because of differing trade patterns and cost or price trends.
Interest rates:
Short-term interest rates: Figures for the EU Member States, United States and Japan are collected by the ECB and transmitted to Eurostat by electronic means.
The source of data for Turkey is the National Central Bank. For Turkey, the annual and quarterly data are calculated by the National Central Bank as an average of the monthly data.
Data prior to 1999 were obtained from the money market and collected directly by the European Commission.
The type of survey depends on the national methodology.
Maastricht criterion interest rates: Daily and monthly long term interest rates convergence series data are collected by the European Central Bank (ECB) from the national central banks. The ECB also calculates the EU aggregate series, based on the data of the national central banks. In addition, for the euro area aggregates, daily data on representative long-term government bonds are collected on the markets by the ECB, which is responsible for the calculation of these aggregates. The country and aggregate data are transmitted to Eurostat by electronic means.
Bilateral exchange rates: Data are taken from the European system of central banks or other national central banks. Until 31 December 1998 these exchange rates refer to the ECU and the source was the European Commission.
Effective exchange rates indices:
The source for the effective exchange rate collection is DG ECFIN of the European Commission.
Concerning component data, bilateral exchange rates for the current year are the official daily rates recorded at 14:15 hours by the ECB. Historical exchange rates are provided by the IFS (IMF) database. For the period before 1999, a weighted average of the currencies of the Member States now participating in the euro area is used as a proxy for the euro.
Weights are derived using data on bilateral exports from the IMF DoT database and on domestic production from national accounts.
Monthly
Interest rates:
Short-term interest rates: Normally within 15 days.
Euro yield curves: Normally within 2 days
Maastricht criterion interest rates: Monthly data around 10 days after the end of the corresponding period.
Bilateral exchange rates against the ECU/euro: The exchange rates provided by the ECB are updated every business day and generally published within 2 days (t+2). For Albania, Serbia and North Macedonia the exchange rates are available within a week from the end of the month.
Effective exchange rates indices: Depending on the availability of the basic data around 1 month after the reference period (t+1).
Interest rates:
Short-term interest rates: Data can be used for regional comparison.
Euro yield curves: Other countries and areas outside the euro area follow different concepts of yield estimations.
Maastricht criterion interest rates: Series are fully comparable between countries. There may be some differences in definition of bonds.
Bilateral exchange rates: Full comparability for most currencies.
Effective exchange rates indices: Due to use of an index with base period, caution must be used for any geographical comparison. In terms of methodology, geographical comparability is reasonable.
Euro yield curves:The data can be easily compared over time since 6 September 2004.
Bilateral exchange rates: Full comparability for most of the time series.
Effective exchange rates: Although the comparability over time of the data can be considered as very high, methodological changes occur and have a limited effect on the overall pattern of REER indicators. Each time these occur, recalculations under the new definitions are performed for the whole time series, safeguarding time series without break.
Other indicators: Generally the data are fully comparable over time. Significant series breaks are flagged.
