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.

Real effective exchange rate (MY) against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	–	–	0.79	6	0.11	–	0.57	scatter
LQ45 lq45	–	–	0.79	6	0.14	–	0.53	scatter
Copper copper	–	–	−0.61	7	−0.67	–	−0.55	scatter
USD/IDR usdidr	–	–	−0.53	7	−0.22	–	−0.58	scatter
Real effective exchange rate (IN) reer_IN	–	−0.84	−0.48	12	−0.35	−0.48	−0.47	scatter
Real effective exchange rate (JP) reer_JP	–	0.33	−0.40	12	0.20	+0.13	−0.55	scatter
PHLX Semiconductor (SOX) sox	–	–	−0.39	7	−0.41	–	−0.17	scatter
Real effective exchange rate (MX) reer_MX	–	−0.05	0.33	12	−0.18	+0.13	0.35	scatter
Real effective exchange rate (BR) reer_BR	–	0.80	0.30	12	0.06	+0.73	0.20	scatter
Bitcoin btc	–	–	0.26	7	0.04	–	0.15	scatter
Nasdaq 100 ndx	–	–	−0.26	7	−0.36	–	−0.21	scatter
Real effective exchange rate (KR) reer_KR	–	0.73	−0.23	12	0.03	+0.70	−0.13	scatter
Real effective exchange rate (CN) reer_CN	–	−0.50	0.22	12	−0.04	−0.46	0.37	scatter
Brent brent	–	–	0.22	7	0.03	–	0.09	scatter
UST 10YR ust10y	–	–	−0.19	7	−0.08	–	−0.05	scatter
DXY dxy	–	–	0.17	7	0.25	–	0.50	scatter
Real effective exchange rate (PH) reer_PH	–	−0.74	−0.15	12	−0.09	−0.65	−0.20	scatter
Real effective exchange rate (ID) reer_ID	–	0.37	0.10	12	0.19	+0.18	0.12	scatter
UST 2YR ust2y	–	–	−0.10	7	−0.16	–	−0.03	scatter
S&P 500 spx	–	–	−0.09	7	−0.28	–	−0.09	scatter
INDOGB 10YR id10y	–	−0.80	0.07	7	−0.19	−0.61	0.02	scatter
Gold gold	–	–	−0.05	7	−0.02	–	−0.04	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 Real effective exchange rate (MY) 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 ↓

Real effective exchange rate (MY) · JCI (IHSG)

20 60 120 252

Not enough common dates for a rolling correlation.

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	–	–	–	–	–	–	–	−0.28	−0.53	0.04	0.79	−0.25	−0.83	−0.38	–	–	–	–	–	–	–

Lag +k: today's change in Real effective exchange rate (MY) against the change in JCI (IHSG) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.