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.

Broad trade-weighted USD against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
DXY dxy	−0.81	0.73	0.75	233	0.86	−0.13	0.73	scatter
Gold gold	−0.48	−0.57	−0.52	233	−0.40	−0.17	−0.09	scatter
Copper copper	0.79	−0.36	−0.51	233	−0.36	0.00	−0.09	scatter
Brent brent	0.20	0.18	0.41	233	0.27	−0.10	0.04	scatter
S&P 500 spx	0.90	−0.42	−0.40	233	−0.28	−0.13	−0.16	scatter
Nasdaq 100 ndx	0.74	−0.43	−0.36	233	−0.27	−0.15	−0.09	scatter
PHLX Semiconductor (SOX) sox	0.68	−0.38	−0.31	233	−0.26	−0.12	−0.03	scatter
JCI (IHSG) jci	0.60	−0.30	−0.29	214	−0.27	−0.03	−0.06	scatter
UST 2YR ust2y	−0.90	0.33	0.29	233	0.25	+0.08	0.02	scatter
Real effective exchange rate (US) reer_US	–	0.93	−0.26	8	0.01	+0.93	−0.05	scatter
LQ45 lq45	0.63	−0.30	−0.26	214	−0.25	−0.05	−0.05	scatter
UST 10YR ust10y	−0.72	0.23	0.25	233	0.21	+0.02	0.02	scatter
Bitcoin btc	−0.13	−0.36	−0.23	233	−0.10	−0.25	−0.03	scatter
INDOGB 10YR id10y	0.06	0.07	0.14	206	0.25	−0.18	0.01	scatter
USD/IDR usdidr	0.55	−0.13	0.03	233	0.33	−0.45 ⇄	0.02	scatter
Newcastle coal coal	–	–	–	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 Broad trade-weighted USD 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 ↓

Broad trade-weighted USD · DXY

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	0.06	0.04	−0.09	−0.17	−0.09	0.04	−0.01	0.09	0.24	0.75	0.03	0.03	0.06	−0.06	−0.05	−0.21	−0.06	0.09	−0.02	0.02

Lag +k: today's change in Broad trade-weighted USD against the change in DXY k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.