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/TWD against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
EUR/USD eurusd	−0.75	−0.29	−0.39	246	−0.43	+0.13	−0.37	scatter
USD/MYR usdmyr	0.21	0.22	0.21	258	0.40	−0.18	0.20	scatter
Gold gold	0.48	0.22	−0.06	238	−0.13	+0.35 ⇄	−0.01	scatter
USD/JPY usdjpy	0.51	0.21	0.36	246	0.33	−0.13	0.24	scatter
USD/CNY usdcny	0.37	0.20	0.16	246	0.29	−0.09	0.32	scatter
USD/KRW usdkrw	0.82	0.17	0.51	246	0.57	−0.40	0.26	scatter
INDOGB 10YR id10y	−0.04	0.17	0.13	218	0.15	+0.02	0.01	scatter
S&P 500 spx	0.21	0.14	0.06	238	−0.12	+0.26 ⇄	0.03	scatter
UST 10YR ust10y	−0.26	−0.10	−0.10	239	0.11	−0.21 ⇄	−0.01	scatter
Nasdaq 100 ndx	0.09	0.10	0.03	238	−0.12	+0.22 ⇄	0.01	scatter
DXY dxy	−0.15	−0.09	−0.05	238	0.29	−0.38 ⇄	−0.05	scatter
JCI (IHSG) jci	0.05	−0.09	−0.13	226	−0.12	+0.03	−0.03	scatter
UST 2YR ust2y	−0.31	−0.09	−0.11	239	0.11	−0.20 ⇄	−0.01	scatter
USD/HKD usdhkd	−0.02	0.08	0.00	258	−0.09	+0.17 ⇄	0.02	scatter
PHLX Semiconductor (SOX) sox	0.04	0.07	0.01	238	−0.11	+0.18 ⇄	0.00	scatter
Copper copper	0.49	0.06	0.05	238	−0.15	+0.21 ⇄	0.01	scatter
Bitcoin btc	−0.13	0.06	0.01	247	−0.06	+0.12 ⇄	0.00	scatter
USD/IDR usdidr	−0.20	−0.05	0.20	246	0.34	−0.40 ⇄	0.13	scatter
USD/INR usdinr	0.23	0.04	0.15	258	0.11	−0.07	0.11	scatter
Brent brent	0.06	0.03	0.03	238	0.06	−0.03	0.00	scatter
LQ45 lq45	−0.04	−0.03	−0.12	226	−0.13	+0.10	−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 USD/TWD 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/TWD · EUR/USD

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	−0.02	−0.02	−0.06	0.09	0.08	−0.11	0.12	−0.02	−0.08	−0.02	−0.39	−0.05	0.01	−0.02	0.02	0.07	0.10	0.14	−0.12	−0.05	0.05

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