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.

Indonesia CDS 5Y against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 10YR ust10y	0.82	0.37	0.16	237	0.14	+0.24	0.07	scatter
Brent brent	0.79	0.30	0.31	236	0.12	+0.18	0.17	scatter
PHLX Semiconductor (SOX) sox	−0.63	−0.20	−0.12	236	−0.36	+0.16	−0.08	scatter
Nasdaq 100 ndx	−0.62	−0.32	−0.19	236	−0.41	+0.09	−0.29	scatter
S&P 500 spx	−0.58	−0.34	−0.22	236	−0.45	+0.11	−0.52	scatter
JCI (IHSG) jci	0.56	−0.04	−0.46	224	−0.45	+0.40	−0.52	scatter
UST 2YR ust2y	0.56	0.33	0.11	237	0.03	+0.30	0.04	scatter
Copper copper	−0.55	−0.34	−0.20	236	−0.24	−0.10	−0.22	scatter
LQ45 lq45	0.52	0.00	−0.46	224	−0.44	+0.44	−0.49	scatter
Bitcoin btc	−0.43	−0.13	0.00	247	−0.12	−0.01	0.00	scatter
DXY dxy	0.42	0.22	0.18	236	0.10	+0.12	1.02	scatter
Gold gold	−0.36	−0.29	−0.26	236	−0.06	−0.23	−0.27	scatter
USD/IDR usdidr	−0.14	0.00	0.15	244	0.29	−0.29	0.53	scatter
INDOGB 10YR id10y	−0.13	0.21	0.37	217	0.36	−0.15	0.09	scatter
Newcastle coal coal	–	–	–	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 Indonesia CDS 5Y 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 ↓

Indonesia CDS 5Y · UST 10YR

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	−0.11	−0.07	−0.03	0.09	−0.01	0.01	−0.03	−0.06	0.07	0.27	0.16	0.00	−0.08	0.01	0.04	−0.07	−0.06	0.05	−0.11	0.13	−0.06

Lag +k: today's change in Indonesia CDS 5Y against the change in UST 10YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.