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.

USD/INR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
USD/JPY usdjpy	0.55	0.20	0.16	246	0.12	+0.08	0.16	scatter
USD/KRW usdkrw	0.49	0.14	0.14	246	0.19	−0.05	0.10	scatter
EUR/USD eurusd	−0.21	−0.16	−0.13	246	−0.22	+0.06	−0.19	scatter
INDOGB 10YR id10y	0.10	0.10	0.12	218	0.14	−0.04	0.01	scatter
USD/HKD usdhkd	−0.15	−0.05	−0.11	258	−0.07	+0.02	−1.41	scatter
Gold gold	0.30	0.10	−0.10	238	−0.03	+0.13 ⇄	−0.03	scatter
USD/CNY usdcny	−0.17	0.12	0.10	246	0.11	+0.01	0.28	scatter
S&P 500 spx	0.45	0.10	0.07	238	−0.02	+0.12 ⇄	0.04	scatter
USD/PHP usdphp	−0.03	0.08	0.06	258	0.15	−0.07	0.05	scatter
USD/MYR usdmyr	0.14	−0.09	0.06	258	0.15	−0.24 ⇄	0.08	scatter
Brent brent	−0.31	0.16	0.06	238	0.10	+0.06	0.01	scatter
Bitcoin btc	−0.34	−0.07	0.06	247	0.03	−0.10 ⇄	0.01	scatter
USD/IDR usdidr	−0.57	−0.02	0.05	246	0.13	−0.15 ⇄	0.05	scatter
DXY dxy	−0.20	−0.07	−0.04	238	0.07	−0.14 ⇄	−0.05	scatter
Nasdaq 100 ndx	0.29	0.13	0.03	238	−0.04	+0.17 ⇄	0.01	scatter
UST 10YR ust10y	−0.30	0.00	−0.03	239	0.08	−0.08	0.00	scatter
PHLX Semiconductor (SOX) sox	0.16	0.20	0.02	238	−0.02	+0.22 ⇄	0.00	scatter
Copper copper	0.18	0.12	0.02	238	−0.02	+0.14 ⇄	0.01	scatter
JCI (IHSG) jci	0.15	0.18	0.02	226	−0.08	+0.26 ⇄	0.00	scatter
LQ45 lq45	0.37	0.09	0.01	226	−0.09	+0.18 ⇄	0.00	scatter
UST 2YR ust2y	−0.31	0.06	0.00	239	0.09	−0.03	0.00	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 USD/INR 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 ↓

USD/INR · USD/JPY

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	0.04	0.00	−0.05	−0.05	0.08	0.05	0.09	−0.10	0.03	−0.07	0.16	−0.04	−0.11	0.05	0.07	−0.01	−0.02	0.07	−0.06	0.06	0.03

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