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.

UST 2YR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 5YR ust5y	0.87	0.90	0.92	238	0.95	−0.04	0.91	scatter
UST 10YR ust10y	0.79	0.79	0.81	251	0.86	−0.07	0.90	scatter
UST 30YR ust30y	0.61	0.57	0.62	251	0.72	−0.14	0.77	scatter
DXY dxy	0.32	0.39	0.45	249	0.37	+0.02	6.44	scatter
UST 3M ust3m	0.04	0.46	0.38	238	0.42	+0.04	0.75	scatter
Brent brent	0.33	0.41	0.36	249	0.30	+0.12	0.49	scatter
S&P 500 spx	−0.41	−0.32	−0.27	249	−0.02	−0.30	−1.59	scatter
Nasdaq 100 ndx	−0.29	−0.26	−0.22	249	0.01	−0.27 ⇄	−0.84	scatter
Gold gold	−0.44	−0.37	−0.22	249	−0.14	−0.23	−0.57	scatter
Copper copper	−0.12	−0.22	−0.17	249	0.06	−0.29 ⇄	−0.47	scatter
PHLX Semiconductor (SOX) sox	−0.23	−0.14	−0.16	249	0.04	−0.18 ⇄	−0.26	scatter
Bitcoin btc	−0.01	−0.15	−0.07	251	0.06	−0.22 ⇄	−0.13	scatter
JCI (IHSG) jci	0.31	0.11	−0.06	231	−0.08	+0.18 ⇄	−0.18	scatter
LQ45 lq45	0.22	0.03	−0.05	231	−0.06	+0.09 ⇄	−0.14	scatter
USD/IDR usdidr	0.25	−0.02	−0.01	250	0.03	−0.05 ⇄	−0.13	scatter
INDOGB 10YR id10y	−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

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 UST 2YR 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 ↓

UST 2YR · UST 5YR

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	0.14	−0.04	0.07	−0.03	0.04	0.01	−0.05	−0.04	0.01	−0.11	0.92	−0.08	−0.01	0.00	−0.05	0.02	0.05	−0.05	0.11	−0.03	0.14

Lag +k: today's change in UST 2YR against the change in UST 5YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.