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.

SRBI 9M incoming bids against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
USD/IDR usdidr	–	−0.77	−0.28	34	−0.28	−0.49	−0.73	scatter
UST 2YR ust2y	–	−0.57	−0.13	32	−0.13	−0.44	−0.03	scatter
SRBI 6M incoming bids srbi6m_bid	–	0.86	0.45	34	0.45	+0.41	0.17	scatter
PHLX Semiconductor (SOX) sox	–	0.46	0.09	32	0.09	+0.38	0.03	scatter
UST 10YR ust10y	–	−0.18	0.17	32	0.17	−0.34 ⇄	0.05	scatter
INDOGB 10YR id10y	–	0.32	−0.02	29	−0.02	+0.34 ⇄	0.00	scatter
DXY dxy	–	−0.60	−0.31	32	−0.31	−0.28	−1.29	scatter
SRBI 9M bid-to-cover srbi9m_btc	–	0.82	0.59	34	0.59	+0.23	0.09	scatter
Bitcoin btc	–	0.27	0.05	34	0.05	+0.22	0.04	scatter
SRBI 12M incoming bids srbi12m_bid	–	0.64	0.43	34	0.43	+0.21	0.03	scatter
LQ45 lq45	–	0.07	−0.13	34	−0.13	+0.20 ⇄	−0.08	scatter
Gold gold	–	0.39	0.22	32	0.22	+0.17	0.15	scatter
JCI (IHSG) jci	–	0.01	−0.13	34	−0.13	+0.14 ⇄	−0.08	scatter
Nasdaq 100 ndx	–	0.27	0.15	32	0.15	+0.12	0.13	scatter
SRBI 6M bid-to-cover srbi6m_btc	–	−0.01	−0.07	34	−0.07	+0.06	−0.01	scatter
SRBI 12M bid-to-cover srbi12m_btc	–	−0.05	0.00	34	0.00	−0.05	0.00	scatter
S&P 500 spx	–	0.16	0.12	32	0.12	+0.04	0.16	scatter
Copper copper	–	0.00	−0.04	32	−0.04	+0.03	−0.03	scatter
Brent brent	–	−0.04	−0.01	32	−0.01	−0.03	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
SBSN auction awarded sbsn_awarded	–	–	–	1	–	–	–	scatter
SBSN auction bid-to-cover sbsn_btc	–	–	–	1	–	–	–	scatter
SBSN auction incoming bids sbsn_incoming	–	–	–	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 SRBI 9M incoming bids 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 ↓

SRBI 9M incoming bids · USD/IDR

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	−0.15	0.29	−0.11	−0.14	0.05	0.04	0.02	0.02	−0.15	0.13	−0.28	−0.01	0.18	−0.15	−0.05	−0.05	0.04	0.17	−0.13	0.34	−0.27

Lag +k: today's change in SRBI 9M incoming bids against the change in USD/IDR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.