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.

Real effective exchange rate (TR) against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
Real effective exchange rate (ID) reer_ID	–	−0.88	0.02	12	0.01	−0.89 ⇄	0.02	scatter
Real effective exchange rate (MX) reer_MX	–	−1.00	−0.09	12	−0.14	−0.86	−0.10	scatter
Real effective exchange rate (BR) reer_BR	–	0.69	0.65	12	0.05	+0.65	0.45	scatter
INDOGB 10YR id10y	–	−0.69	−0.10	7	−0.11	−0.58	−0.03	scatter
Real effective exchange rate (JP) reer_JP	–	−0.90	−0.38	12	−0.41	−0.49	−0.54	scatter
Real effective exchange rate (KR) reer_KR	–	−0.59	−0.27	12	−0.14	−0.45	−0.16	scatter
Real effective exchange rate (CN) reer_CN	–	0.80	0.13	12	0.48	+0.32	0.22	scatter
Real effective exchange rate (MY) reer_MY	–	0.12	0.15	12	−0.14	+0.25 ⇄	0.15	scatter
Real effective exchange rate (IN) reer_IN	–	0.45	0.01	12	0.29	+0.16	0.01	scatter
S&P 500 spx	–	–	0.82	7	0.17	–	0.89	scatter
Gold gold	–	–	0.79	7	0.64	–	0.74	scatter
Nasdaq 100 ndx	–	–	0.74	7	0.15	–	0.70	scatter
PHLX Semiconductor (SOX) sox	–	–	0.60	7	−0.02	–	0.30	scatter
UST 10YR ust10y	–	–	−0.60	7	0.03	–	−0.18	scatter
Copper copper	–	–	0.55	7	−0.12	–	0.57	scatter
UST 2YR ust2y	–	–	−0.48	7	0.01	–	−0.18	scatter
Bitcoin btc	–	–	0.39	7	0.32	–	0.25	scatter
Brent brent	–	–	0.32	7	0.01	–	0.16	scatter
DXY dxy	–	–	−0.30	7	0.05	–	−1.01	scatter
USD/IDR usdidr	–	–	−0.21	7	−0.13	–	−0.26	scatter
JCI (IHSG) jci	–	–	−0.08	6	0.28	–	−0.07	scatter
LQ45 lq45	–	–	−0.08	6	0.36	–	−0.06	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 Real effective exchange rate (TR) 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 ↓

Real effective exchange rate (TR) · Real effective exchange rate (ID)

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	–	−0.17	0.41	−0.16	−0.27	−0.08	0.17	0.52	−0.18	0.07	0.02	−0.15	0.26	−0.54	−0.19	0.66	0.10	−0.14	−0.59	−0.92	–

Lag +k: today's change in Real effective exchange rate (TR) against the change in Real effective exchange rate (ID) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.