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.

10YR real yield (TIPS) against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
10YR term premium (Kim-Wright) tp10_kw	0.98	0.83	0.87	233	0.89	−0.06	1.67	scatter
UST 10YR ust10y	0.96	0.89	0.89	249	0.91	−0.02	0.75	scatter
5YR real yield (TIPS) tips5y	0.95	0.92	0.88	237	0.92	0.00	0.78	scatter
3M-10YR slope s3m10	0.86	0.60	0.73	238	0.82	−0.21	0.61	scatter
UST 2YR ust2y	0.83	0.81	0.76	249	0.79	+0.02	0.57	scatter
S&P 500 spx	−0.53	−0.32	−0.34	248	−0.19	−0.13	−1.52	scatter
INDOGB 10YR id10y	−0.39	−0.10	0.05	201	0.13	−0.23 ⇄	0.02	scatter
INDOGB 10YR real yield (10YR - CPI) id_real10y	−0.39	0.04	−0.10	171	−0.10	+0.14 ⇄	−0.02	scatter
Nasdaq 100 ndx	−0.39	−0.23	−0.30	248	−0.15	−0.08	−0.87	scatter
Brent brent	0.38	0.33	0.22	248	0.18	+0.15	0.23	scatter
DXY dxy	0.38	0.40	0.35	248	0.22	+0.19	3.88	scatter
Gold gold	−0.30	−0.28	−0.15	248	−0.06	−0.22	−0.29	scatter
PHLX Semiconductor (SOX) sox	−0.29	−0.11	−0.22	248	−0.10	−0.01	−0.27	scatter
JCI (IHSG) jci	0.21	0.01	−0.08	230	−0.09	+0.10 ⇄	−0.18	scatter
Bitcoin btc	−0.19	−0.26	−0.14	249	−0.02	−0.24	−0.18	scatter
10YR breakeven inflation be10y	−0.18	0.02	0.13	238	0.26	−0.24	0.23	scatter
Copper copper	−0.18	−0.18	−0.21	248	−0.03	−0.15	−0.44	scatter
LQ45 lq45	0.15	−0.08	−0.08	230	−0.10	+0.01	−0.17	scatter
2s10s slope s2s10	0.11	−0.02	0.09	238	0.16	−0.18 ⇄	0.12	scatter
USD/IDR usdidr	0.08	−0.03	0.02	249	0.06	−0.10 ⇄	0.15	scatter
Real SRBI 12M (SRBI - CPI) id_real_srbi	–	−0.11	−0.17	34	−0.17	+0.06	−0.02	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Policy rate tvm_US_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 10YR real yield (TIPS) 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 ↓

10YR real yield (TIPS) · 10YR term premium (Kim-Wright)

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	0.13	−0.01	−0.04	−0.07	0.01	0.03	−0.04	0.00	0.02	−0.02	0.87	0.03	−0.07	−0.06	−0.07	0.00	−0.02	−0.06	0.01	−0.08	0.11

Lag +k: today's change in 10YR real yield (TIPS) against the change in 10YR term premium (Kim-Wright) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.