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.

SBSN auction awarded against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
DXY dxy	–	−0.78	0.19	16	0.19	−0.98 ⇄	1.97	scatter
JCI (IHSG) jci	–	0.56	−0.37	16	−0.37	+0.94 ⇄	−0.70	scatter
LQ45 lq45	–	0.60	−0.34	16	−0.34	+0.94 ⇄	−0.66	scatter
Gold gold	–	0.38	−0.45	16	−0.45	+0.83 ⇄	−1.07	scatter
S&P 500 spx	–	−0.73	0.09	16	0.09	−0.82 ⇄	0.45	scatter
SBSN auction bid-to-cover sbsn_btc	–	0.33	−0.46	16	−0.46	+0.79 ⇄	−1.48	scatter
Bitcoin btc	–	−0.76	−0.07	16	−0.07	−0.70	−0.07	scatter
Copper copper	–	0.66	0.11	16	0.11	+0.55	0.21	scatter
SBSN auction incoming bids sbsn_incoming	–	0.63	0.08	16	0.08	+0.55	0.02	scatter
Nasdaq 100 ndx	–	−0.37	0.06	16	0.06	−0.43 ⇄	0.20	scatter
INDOGB 10YR id10y	–	−0.44	−0.02	16	−0.02	−0.42	−0.02	scatter
PHLX Semiconductor (SOX) sox	–	0.10	−0.17	16	−0.17	+0.27 ⇄	−0.21	scatter
USD/IDR usdidr	–	0.06	−0.15	16	−0.15	+0.21 ⇄	−1.50	scatter
UST 10YR ust10y	–	−0.14	0.04	16	0.04	−0.17 ⇄	0.03	scatter
Brent brent	–	0.51	0.45	16	0.45	+0.07	0.37	scatter
UST 2YR ust2y	–	0.06	0.05	16	0.05	+0.01	0.03	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
SRBI 12M bid-to-cover srbi12m_btc	–	–	–	1	–	–	–	scatter
SRBI 12M incoming bids srbi12m_bid	–	–	–	1	–	–	–	scatter
SRBI 6M bid-to-cover srbi6m_btc	–	–	–	1	–	–	–	scatter
SRBI 6M incoming bids srbi6m_bid	–	–	–	1	–	–	–	scatter
SRBI 9M bid-to-cover srbi9m_btc	–	–	–	1	–	–	–	scatter
SRBI 9M incoming bids srbi9m_bid	–	–	–	1	–	–	–	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 SBSN auction awarded 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 ↓

SBSN auction awarded · DXY

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	0.32	−0.69	0.54	−0.26	0.18	0.15	0.23	0.14	0.15	−0.20	0.19	−0.21	−0.53	0.24	−0.12	0.41	−0.34	0.63	0.14	−0.19	−0.29

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