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.

SRBI 9M bid-to-cover against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
SRBI 9M incoming bids srbi9m_bid	–	0.82	0.59	34	0.59	+0.23	3.74	scatter
SRBI 6M incoming bids srbi6m_bid	–	0.66	0.34	34	0.34	+0.31	0.80	scatter
USD/IDR usdidr	–	−0.88	−0.28	34	−0.28	−0.61	−4.59	scatter
UST 10YR ust10y	–	−0.24	0.20	32	0.20	−0.44 ⇄	0.37	scatter
Bitcoin btc	–	0.13	−0.13	34	−0.13	+0.26 ⇄	−0.61	scatter
SRBI 6M bid-to-cover srbi6m_btc	–	−0.31	0.13	34	0.13	−0.44 ⇄	0.08	scatter
Brent brent	–	−0.24	0.09	32	0.09	−0.33 ⇄	0.15	scatter
SRBI 12M bid-to-cover srbi12m_btc	–	−0.02	−0.08	34	−0.08	+0.06	−0.08	scatter
LQ45 lq45	–	−0.13	0.07	34	0.07	−0.20 ⇄	0.27	scatter
UST 2YR ust2y	–	−0.48	0.06	32	0.06	−0.53 ⇄	0.08	scatter
PHLX Semiconductor (SOX) sox	–	0.24	−0.03	32	−0.03	+0.27 ⇄	−0.06	scatter
INDOGB 10YR id10y	–	0.28	−0.03	29	−0.03	+0.30 ⇄	−0.03	scatter
S&P 500 spx	–	0.09	−0.02	32	−0.02	+0.12 ⇄	−0.21	scatter
Copper copper	–	0.06	−0.01	32	−0.01	+0.07 ⇄	−0.06	scatter
Gold gold	–	0.10	0.01	32	0.01	+0.09	0.05	scatter
DXY dxy	–	−0.34	−0.01	32	−0.01	−0.33	−0.20	scatter
Nasdaq 100 ndx	–	0.08	0.00	32	0.00	+0.09 ⇄	−0.02	scatter
JCI (IHSG) jci	–	−0.30	0.00	34	0.00	−0.29	−0.02	scatter
SRBI 12M incoming bids srbi12m_bid	–	0.45	0.00	34	0.00	+0.45	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
SBSN auction awarded sbsn_awarded	–	–	–	1	–	–	–	scatter
SBSN auction bid-to-cover sbsn_btc	–	–	–	1	–	–	–	scatter
SBSN auction incoming bids sbsn_incoming	–	–	–	1	–	–	–	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 SRBI 9M bid-to-cover 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 ↓

SRBI 9M bid-to-cover · SRBI 9M incoming bids

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	0.05	−0.02	−0.13	0.05	−0.15	0.24	−0.28	0.46	−0.17	−0.28	0.59	−0.12	0.02	0.08	−0.13	0.08	−0.06	0.03	0.05	0.10	−0.34

Lag +k: today's change in SRBI 9M bid-to-cover against the change in SRBI 9M incoming bids k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.