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.

BI-Rate against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
BI-Rate decisions id_rate_bi	–	–	1.00	5	1.00	–	100.00	scatter
Brent brent	–	–	−0.89	10	−0.89	–	−5.05	scatter
UST 2YR ust2y	–	–	−0.66	10	−0.66	–	−2.01	scatter
USD/IDR usdidr	–	–	0.65	10	0.65	–	26.12	scatter
UST 10YR ust10y	–	–	−0.51	10	−0.51	–	−1.32	scatter
PHLX Semiconductor (SOX) sox	–	–	0.48	10	0.48	–	2.90	scatter
INDOGB 10YR id10y	–	–	0.44	10	0.44	–	1.15	scatter
Copper copper	–	–	0.39	10	0.39	–	5.26	scatter
Gold gold	–	–	−0.38	10	−0.38	–	−3.67	scatter
S&P 500 spx	–	–	0.37	10	0.37	–	9.11	scatter
Nasdaq 100 ndx	–	–	0.36	10	0.36	–	4.95	scatter
Bitcoin btc	–	–	−0.24	10	−0.24	–	−1.46	scatter
LQ45 lq45	–	–	0.21	10	0.21	–	1.28	scatter
JCI (IHSG) jci	–	–	0.17	10	0.17	–	1.15	scatter
DXY dxy	–	–	0.02	10	0.02	–	0.72	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
Indonesia Policy rate tvm_ID_intr	–	–	–	0	–	–	–	scatter
Brazil Policy rate tvm_BR_intr	–	–	–	0	–	–	–	scatter
China Policy rate tvm_CN_intr	–	–	–	0	–	–	–	scatter
India Policy rate tvm_IN_intr	–	–	–	0	–	–	–	scatter
Japan Policy rate tvm_JP_intr	–	–	–	0	–	–	–	scatter
Malaysia Policy rate tvm_MY_intr	–	–	–	0	–	–	–	scatter
Mexico Policy rate tvm_MX_intr	–	–	–	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 BI-Rate 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 ↓

BI-Rate · BI-Rate decisions

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	–	–	–	–	–	–	–	–	–	0.58	1.00	0.58	–	–	–	–	–	–	–	–	–

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