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.

Real effective exchange rate (MX) against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Real effective exchange rate (JP) reer_JP	–	0.93	−0.16	12	−0.41	+1.33 ⇄	−0.21	scatter
Real effective exchange rate (ID) reer_ID	–	0.91	−0.32	12	0.04	+0.87	−0.35	scatter
Real effective exchange rate (CN) reer_CN	–	−0.84	−0.23	12	−0.11	−0.73	−0.36	scatter
Real effective exchange rate (BR) reer_BR	–	−0.65	0.00	12	0.35	−0.99 ⇄	0.00	scatter
INDOGB 10YR id10y	–	0.64	−0.51	7	0.00	+0.65 ⇄	−0.15	scatter
Real effective exchange rate (KR) reer_KR	–	0.64	0.22	12	0.13	+0.51	0.12	scatter
Real effective exchange rate (PH) reer_PH	–	−0.63	0.03	12	0.07	−0.70 ⇄	0.04	scatter
Real effective exchange rate (IN) reer_IN	–	−0.50	−0.23	12	−0.10	−0.40	−0.21	scatter
Real effective exchange rate (MY) reer_MY	–	−0.05	0.33	12	−0.18	+0.13	0.31	scatter
S&P 500 spx	–	–	−0.90	7	−0.36	–	−0.99	scatter
Nasdaq 100 ndx	–	–	−0.89	7	−0.18	–	−0.85	scatter
PHLX Semiconductor (SOX) sox	–	–	−0.78	7	−0.01	–	−0.39	scatter
Gold gold	–	–	−0.77	7	−0.41	–	−0.72	scatter
Brent brent	–	–	−0.74	7	−0.45	–	−0.36	scatter
Copper copper	–	–	−0.67	7	−0.17	–	−0.70	scatter
UST 10YR ust10y	–	–	0.26	7	0.27	–	0.08	scatter
DXY dxy	–	–	0.25	7	−0.19	–	0.83	scatter
USD/IDR usdidr	–	–	−0.25	7	−0.35	–	−0.31	scatter
LQ45 lq45	–	–	−0.07	6	0.06	–	−0.06	scatter
Bitcoin btc	–	–	−0.05	7	0.15	–	−0.03	scatter
JCI (IHSG) jci	–	–	−0.01	6	0.10	–	−0.01	scatter
UST 2YR ust2y	–	–	0.01	7	0.19	–	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 Real effective exchange rate (MX) 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 ↓

Real effective exchange rate (MX) · Real effective exchange rate (JP)

20 60 120 252

Not enough common dates for a rolling correlation.

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	–	−0.61	−0.25	0.92	−0.45	0.45	0.29	0.23	−0.50	−0.26	−0.16	−0.27	−0.71	−0.05	0.12	−0.58	0.14	0.66	0.60	0.53	–

Lag +k: today's change in Real effective exchange rate (MX) against the change in Real effective exchange rate (JP) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.