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.

EM corporate OAS against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
US HY OAS hyoas	0.64	0.47	0.56	251	0.66	−0.19	0.28	scatter
US IG OAS igoas	0.67	0.40	0.45	264	0.64	−0.24	1.06	scatter
UST 2YR ust2y	−0.83	−0.68	−0.61	238	−0.60	−0.08	−0.34	scatter
UST 10YR ust10y	−0.55	−0.63	−0.58	238	−0.46	−0.16	−0.36	scatter
S&P 500 spx	0.49	0.16	−0.06	239	−0.34	+0.50 ⇄	−0.20	scatter
Nasdaq 100 ndx	0.25	0.08	−0.07	239	−0.32	+0.41 ⇄	−0.15	scatter
PHLX Semiconductor (SOX) sox	0.20	0.05	−0.08	239	−0.31	+0.35 ⇄	−0.07	scatter
Copper copper	0.25	0.07	−0.08	239	−0.25	+0.32 ⇄	−0.12	scatter
LQ45 lq45	−0.23	−0.07	−0.22	226	−0.24	+0.17	−0.34	scatter
JCI (IHSG) jci	−0.48	−0.21	−0.22	226	−0.22	+0.01	−0.35	scatter
Bitcoin btc	−0.19	0.11	−0.04	246	−0.21	+0.32 ⇄	−0.03	scatter
DXY dxy	−0.74	−0.34	−0.18	239	−0.19	−0.14	−1.44	scatter
INDOGB 10YR id10y	0.43	0.32	0.15	217	0.17	+0.14	0.05	scatter
USD/IDR usdidr	−0.48	0.12	0.06	246	0.16	−0.03	0.31	scatter
Brent brent	−0.10	−0.26	0.00	239	−0.16	−0.10	0.00	scatter
Gold gold	0.05	0.03	−0.09	239	0.05	−0.02	−0.12	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 EM corporate OAS 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 ↓

EM corporate OAS · US HY OAS

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	0.07	−0.07	−0.09	0.09	0.17	−0.01	0.06	−0.04	0.07	0.15	0.56	−0.21	−0.25	0.02	0.05	−0.01	−0.07	−0.08	−0.02	0.08	0.07

Lag +k: today's change in EM corporate OAS against the change in US HY OAS k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.