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.

Credit growth YoY against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
M2 growth YoY id_m2	–	−0.88	−0.88	3	−0.88	0.00	−0.41	scatter
Base money (adjusted) YoY id_base_money	–	0.20	0.20	3	0.20	0.00	0.05	scatter
INDOGB 10YR id10y	–	−0.14	−0.14	3	−0.14	0.00	−0.04	scatter
Nasdaq 100 ndx	–	–	0.95	3	0.95	–	0.58	scatter
S&P 500 spx	–	–	0.94	3	0.94	–	0.76	scatter
DXY dxy	–	–	0.89	3	0.89	–	2.39	scatter
Bitcoin btc	–	–	−0.88	3	−0.88	–	−0.21	scatter
Gold gold	–	–	0.86	3	0.86	–	0.64	scatter
Brent brent	–	–	−0.83	3	−0.83	–	−0.46	scatter
UST 10YR ust10y	–	–	0.83	3	0.83	–	0.16	scatter
UST 2YR ust2y	–	–	0.83	3	0.83	–	0.16	scatter
LQ45 lq45	–	–	−0.79	3	−0.79	–	−0.18	scatter
PHLX Semiconductor (SOX) sox	–	–	0.73	3	0.73	–	0.17	scatter
JCI (IHSG) jci	–	–	−0.69	3	−0.69	–	−0.17	scatter
USD/IDR usdidr	–	–	0.60	3	0.60	–	0.79	scatter
Copper copper	–	–	0.54	3	0.54	–	0.32	scatter
M2 (IDR tn) id_m2_level	–	–	0.32	3	0.32	–	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
Indonesia Loan growth YoY tvm_ID_lg	–	–	–	0	–	–	–	scatter
Brazil Loan growth YoY tvm_BR_lg	–	–	–	0	–	–	–	scatter
China Loan growth YoY tvm_CN_lg	–	–	–	0	–	–	–	scatter
India Loan growth YoY tvm_IN_lg	–	–	–	0	–	–	–	scatter
Japan Loan growth YoY tvm_JP_lg	–	–	–	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 Credit growth YoY 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 ↓

Credit growth YoY · M2 growth YoY

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	–	–	–	–	–	–	–	–	–	–	−0.88	–	–	–	–	–	–	–	–	–	–

Lag +k: today's change in Credit growth YoY against the change in M2 growth YoY k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.