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.

Korea 10YR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
INDOGB 10YR id10y	0.56	0.35	0.41	208	0.36	0.00	0.25	scatter
JCI (IHSG) jci	−0.73	−0.26	−0.31	219	−0.17	−0.10	−0.97	scatter
LQ45 lq45	−0.64	−0.24	−0.29	219	−0.13	−0.11	−0.85	scatter
Brent brent	0.09	0.26	0.26	228	0.19	+0.06	0.40	scatter
Brazil 10YR br10y	0.16	0.14	0.22	253	0.22	−0.08	0.11	scatter
Gold gold	−0.76	−0.27	−0.20	228	−0.16	−0.11	−0.57	scatter
Nasdaq 100 ndx	−0.27	−0.14	−0.12	228	−0.09	−0.05	−0.50	scatter
UST 10YR ust10y	0.01	0.17	0.12	229	0.18	−0.01	0.14	scatter
S&P 500 spx	−0.22	−0.13	−0.11	228	−0.09	−0.04	−0.70	scatter
UST 2YR ust2y	0.01	0.26	0.10	229	0.13	+0.14	0.11	scatter
Copper copper	−0.48	−0.19	−0.10	228	−0.06	−0.13	−0.29	scatter
USD/IDR usdidr	0.91	0.16	0.10	234	0.07	+0.09	0.99	scatter
PHLX Semiconductor (SOX) sox	−0.37	−0.02	−0.09	228	−0.05	+0.03	−0.17	scatter
DXY dxy	−0.13	0.05	0.07	228	−0.01	+0.06 ⇄	1.09	scatter
Bitcoin btc	−0.36	−0.17	0.00	238	0.02	−0.19 ⇄	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 Korea 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 ↓

Korea 10YR · INDOGB 10YR

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	−0.07	0.14	0.01	0.06	0.03	−0.09	−0.06	−0.02	−0.06	−0.11	0.41	0.01	−0.05	0.00	−0.13	−0.15	0.09	0.05	−0.01	0.19	−0.13

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