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.

INDOGB 10YR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
INDOGB 15YR id15y	0.66	0.36	0.34	216	0.55	−0.18	0.48	scatter
LQ45 lq45	−0.52	−0.22	−0.31	205	−0.32	+0.11	−1.47	scatter
JCI (IHSG) jci	−0.62	−0.23	−0.29	205	−0.30	+0.07	−1.41	scatter
Brent brent	−0.36	−0.12	0.21	201	0.20	−0.32 ⇄	0.49	scatter
USD/IDR usdidr	0.30	0.06	0.18	206	0.28	−0.22	2.76	scatter
Gold gold	−0.29	−0.20	−0.12	201	−0.14	−0.06	−0.53	scatter
Bitcoin btc	0.07	−0.10	0.06	209	0.02	−0.11 ⇄	0.16	scatter
DXY dxy	−0.52	0.08	0.05	201	0.18	−0.11	1.34	scatter
PHLX Semiconductor (SOX) sox	−0.01	0.14	0.03	201	−0.02	+0.15 ⇄	0.10	scatter
S&P 500 spx	0.20	0.15	−0.03	201	−0.09	+0.23 ⇄	−0.31	scatter
Nasdaq 100 ndx	−0.02	0.09	−0.02	201	−0.08	+0.17 ⇄	−0.12	scatter
Copper copper	−0.21	−0.07	−0.01	201	−0.04	−0.03	−0.07	scatter
UST 10YR ust10y	−0.38	−0.16	0.01	201	0.11	−0.26 ⇄	0.02	scatter
UST 2YR ust2y	−0.23	−0.04	0.00	201	0.04	−0.07 ⇄	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
INDOGB 10Y idgb_10y	–	–	–	0	–	–	–	scatter
INDOGB 15Y idgb_15y	–	–	–	0	–	–	–	scatter
INDOGB 1Y idgb_1y	–	–	–	0	–	–	–	scatter
INDOGB 20Y idgb_20y	–	–	–	0	–	–	–	scatter
INDOGB 30Y idgb_30y	–	–	–	0	–	–	–	scatter
INDOGB 3Y idgb_3y	–	–	–	0	–	–	–	scatter
INDOGB 5Y idgb_5y	–	–	–	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 INDOGB 10YR 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 ↓

INDOGB 10YR · INDOGB 15YR

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	0.08	−0.03	0.04	0.00	0.03	0.10	−0.19	0.03	−0.15	−0.11	0.34	0.36	0.29	−0.10	0.00	−0.28	0.07	0.07	0.03	0.02	0.04

Lag +k: today's change in INDOGB 10YR against the change in INDOGB 15YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.