Relationship Lab

How a series has moved with others: the correlation of daily changes (% for prices, bp for rates) over 1 and 3 years, the beta, a rolling correlation and whether one tends to move first. Correlation is not causation, and it changes over time.

Fed funds upper bound against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Effective fed funds effr	1.00	1.00	1.00	250	1.00	0.00	0.99	scatter
Copper copper	0.57	0.23	0.06	240	0.06	+0.17	0.09	scatter
UST 10YR ust10y	−0.52	−0.24	−0.09	239	−0.11	−0.13	−0.06	scatter
S&P 500 spx	0.48	0.21	0.09	240	0.06	+0.15	0.32	scatter
UST 2YR ust2y	−0.46	−0.21	−0.05	239	−0.07	−0.14	−0.03	scatter
Nasdaq 100 ndx	0.39	0.19	0.11	240	0.07	+0.12	0.24	scatter
LQ45 lq45	0.38	0.02	0.03	227	0.04	−0.01	0.05	scatter
PHLX Semiconductor (SOX) sox	0.36	0.15	0.07	240	0.03	+0.13	0.07	scatter
JCI (IHSG) jci	0.36	0.05	0.02	227	0.02	+0.03	0.04	scatter
DXY dxy	−0.34	−0.04	0.01	240	−0.04	−0.01	0.05	scatter
Gold gold	0.18	0.02	−0.04	240	−0.02	+0.04 ⇄	−0.07	scatter
Brent brent	−0.13	−0.06	0.01	240	0.01	−0.07 ⇄	0.01	scatter
USD/IDR usdidr	0.05	0.09	0.03	247	0.02	+0.07	0.19	scatter
Bitcoin btc	−0.02	−0.01	0.02	257	0.01	−0.01 ⇄	0.02	scatter
INDOGB 10YR id10y	0.01	0.03	−0.02	222	−0.01	+0.04 ⇄	−0.01	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Policy rate tvm_US_intr	–	–	–	0	–	–	–	scatter
BI-Rate decisions id_rate_bi	–	–	–	5	–	–	–	scatter
BI-Rate birate	–	–	–	10	–	–	–	scatter
Brazil Policy rate tvm_BR_intr	–	–	–	0	–	–	–	scatter
China Policy rate tvm_CN_intr	–	–	–	0	–	–	–	scatter
India Policy rate tvm_IN_intr	–	–	–	0	–	–	–	scatter
Indonesia Policy rate tvm_ID_intr	–	–	–	0	–	–	–	scatter

Compared with the headline cross-asset series and the series in the same catalog category and country. Changes are matched on common dates. Beta = change in Fed funds upper bound per unit change in the other series (least squares, 1 year). Amber: fewer than 20 common changes (hover a value for its n). Stability: the 3-month correlation minus the 3-year one; ⇄ marks opposite signs. A change in correlation describes the past; it does not say the relationship has broken or will return. Data ↓

Fed funds upper bound · Effective fed funds

20 60 120 252

Rolling correlation of daily changes over the last 60 common readings, last 3 years.

Who moves first? (1 year)

Lag (readings)	-10	-9	-8	-7	-6	-5	-4	-3	-2	-1	+0	+1	+2	+3	+4	+5	+6	+7	+8	+9	+10
correlation	−0.02	−0.02	0.00	0.00	0.00	0.00	0.00	−0.01	0.00	0.00	1.00	0.01	−0.01	0.00	0.00	0.00	0.00	0.00	0.00	−0.02	0.00

Lag +k: today's change in Fed funds upper bound against the change in Effective fed funds k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.