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.

Industrial production YoY against…

Series	1M ↓	3M	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	–	–	1.00	3	0.35	–	0.92	scatter
LQ45 lq45	–	–	0.97	3	0.42	–	1.30	scatter
INDOGB 10YR id10y	–	–	−0.96	4	−0.63	–	−0.05	scatter
Brent brent	–	–	−0.92	5	−0.62	–	−0.07	scatter
S&P 500 spx	–	–	0.88	5	0.72	–	0.95	scatter
USD/IDR usdidr	–	–	−0.83	5	−0.41	–	−2.58	scatter
UST 2YR ust2y	–	–	−0.75	5	−0.39	–	−0.13	scatter
Gold gold	–	–	0.71	5	0.66	–	0.19	scatter
Nasdaq 100 ndx	–	–	0.63	5	0.51	–	0.29	scatter
DXY dxy	–	–	−0.60	5	−0.58	–	−1.32	scatter
UST 10YR ust10y	–	–	−0.52	5	−0.38	–	−0.09	scatter
Bitcoin btc	–	–	0.46	6	0.05	–	0.07	scatter
PHLX Semiconductor (SOX) sox	–	–	0.45	5	0.29	–	0.07	scatter
Copper copper	–	–	−0.13	5	0.46	–	−0.05	scatter
GDPNow (Atlanta Fed) us_gdpnow	–	–	−0.03	4	−0.09	–	−0.01	scatter
Real GDP QoQ saar us_gdp	–	–	0.03	3	0.14	–	0.01	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States GDP growth YoY tvm_US_gdpyy	–	–	–	0	–	–	–	scatter
United States Industrial production YoY tvm_US_ipyy	–	–	–	0	–	–	–	scatter
Brazil GDP growth YoY tvm_BR_gdpyy	–	–	–	0	–	–	–	scatter
Brazil Industrial production YoY tvm_BR_ipyy	–	–	–	0	–	–	–	scatter
China GDP growth YoY tvm_CN_gdpyy	–	–	–	0	–	–	–	scatter
China Industrial production YoY tvm_CN_ipyy	–	–	–	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 Industrial production YoY 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 ↓

Industrial production YoY · 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	–	–	–	–	–	–	–	–	–	–	1.00	–	–	–	–	–	–	–	–	–	–

Lag +k: today's change in Industrial production YoY 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.