How the Bank of Japan builds its daily yen rate series
Serguey Asael Shinder1 min readThe Bank of Japan has published Foreign Exchange Rates on its website every business day since 4 January 2007. The figures are based on information from market participants and the Bank states plainly that they are subject to revisions and corrections.
The recent window is short: the past seventy business days appear in the daily list, and anything longer has to come from the BOJ Time-Series Data Search. Within that search, US dollar/yen and euro/US dollar spot rates at 09:00 and 17:00 JST are mid rates of bid and offer. Euro/yen spot at those times is not carried in the search at all, and has to be derived by multiplying the two rates that are. A list of corrections sits alongside the series, running back through amendments to swap and spot turnover figures in 2022, 2023 and 2025.
What it means
A published correction list is a feature, not an embarrassment. It tells you the series is maintained after release, and it lets anyone who stored a figure know whether the version they hold is still the current one - which is exactly what a downstream model needs and rarely gets.
The euro/yen omission is the practical trap. A cross rate computed by multiplying two mid rates is not the same object as a quoted euro/yen mid: the bid-offer spreads of the two legs do not cancel, and the derived number carries an error the quoted one does not. For most purposes it does not matter; for anything that reconciles against a counterparty's books it does, and the Bank is telling you which of its numbers are measured and which are arithmetic.