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.

INDON 5YR (USD bond) against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
Nasdaq 100 ndx	0.99	0.91	0.91	4	0.91	0.00	15.18	scatter
Copper copper	0.80	0.89	0.89	4	0.89	0.00	8.83	scatter
LQ45 lq45	−0.61	−0.84	−0.84	4	−0.84	0.00	−8.04	scatter
Gold gold	0.95	0.84	0.84	4	0.84	0.00	10.35	scatter
PHLX Semiconductor (SOX) sox	0.84	0.84	0.84	4	0.84	0.00	2.34	scatter
S&P 500 spx	0.59	0.83	0.83	4	0.83	0.00	21.12	scatter
DXY dxy	−0.45	−0.74	−0.74	4	−0.74	0.00	−28.75	scatter
UST 10YR ust10y	0.52	0.52	0.52	4	0.52	0.00	1.67	scatter
Bitcoin btc	0.75	0.52	0.52	4	0.52	0.00	1.99	scatter
JCI (IHSG) jci	0.04	−0.48	−0.48	4	−0.48	0.00	−15.71	scatter
Brent brent	0.92	−0.41	−0.41	4	−0.41	0.00	−2.81	scatter
UST 2YR ust2y	0.68	0.33	0.33	4	0.33	0.00	0.54	scatter
USD/IDR usdidr	−0.09	−0.32	−0.32	4	−0.32	0.00	−3.99	scatter
INDOGB 10YR id10y	0.24	0.24	0.24	3	0.24	0.00	0.71	scatter
INDON 10YR (USD bond) indon10y	0.12	0.12	0.12	4	0.12	0.00	0.12	scatter
INDON 30YR (USD bond) indon30y	−0.08	−0.08	−0.08	4	−0.08	0.00	−0.08	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
INDOGB 10Y idgb_10y	–	–	–	0	–	–	–	scatter
INDOGB 15Y idgb_15y	–	–	–	0	–	–	–	scatter
INDOGB 1Y idgb_1y	–	–	–	0	–	–	–	scatter
INDOGB 20Y idgb_20y	–	–	–	0	–	–	–	scatter
INDOGB 30Y idgb_30y	–	–	–	0	–	–	–	scatter
INDOGB 3Y idgb_3y	–	–	–	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 INDON 5YR (USD bond) 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 ↓

INDON 5YR (USD bond) · Nasdaq 100

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	–	–	–	–	–	–	–	–	–	−0.70	0.91	−0.72	–	–	–	–	–	–	–	–	–

Lag +k: today's change in INDON 5YR (USD bond) against the change in Nasdaq 100 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.