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.

Treasury General Account (USD bn) against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
LQ45 lq45	–	0.45	−0.23	46	−0.14	+0.60 ⇄	−7.30	scatter
JCI (IHSG) jci	–	0.43	−0.17	46	−0.10	+0.53 ⇄	−5.53	scatter
Copper copper	–	−0.63	−0.13	49	−0.11	−0.51	−4.56	scatter
INDOGB 10YR id10y	−0.25	−0.31	0.04	49	0.05	−0.36 ⇄	0.37	scatter
Bank reserves (USD bn) reserves	−0.98	−0.97	−0.95	52	−0.63	−0.34	−0.92	scatter
Bitcoin btc	–	−0.38	−0.07	50	−0.05	−0.33	−1.78	scatter
UST 10YR ust10y	–	0.52	0.23	50	0.19	+0.33	2.96	scatter
Fed net liquidity (balance sheet - TGA - RRP) net_liq	−1.00	−0.99	−0.97	52	−0.70	−0.29	−0.93	scatter
Gold gold	–	−0.31	−0.03	49	−0.05	−0.26	−0.98	scatter
USD/IDR usdidr	–	0.37	0.11	49	0.12	+0.24	14.93	scatter
Nasdaq 100 ndx	–	−0.35	−0.15	49	−0.15	−0.20	−8.31	scatter
DXY dxy	–	0.11	0.30	49	0.30	−0.19	55.15	scatter
Overnight reverse repo (USD bn) rrp	−0.08	0.24	0.03	52	0.05	+0.19	0.13	scatter
Fed balance sheet (USD mn) walcl	−0.39	−0.09	−0.05	52	0.09	−0.18 ⇄	−0.19	scatter
PHLX Semiconductor (SOX) sox	–	−0.25	−0.12	49	−0.12	−0.13	−3.01	scatter
S&P 500 spx	–	−0.30	−0.18	49	−0.17	−0.13	−14.13	scatter
Brent brent	–	0.43	0.33	49	0.33	+0.10	4.90	scatter
UST 2YR ust2y	–	0.16	0.23	50	0.21	−0.05	2.93	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 Treasury General Account (USD bn) 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 ↓

Treasury General Account (USD bn) · LQ45

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	0.04	0.33	0.00	0.00	−0.23	−0.04	0.02	0.00	0.17	0.00	−0.23	0.08	0.13	0.00	−0.06	−0.27	0.29	0.13	−0.01	0.08	0.06

Lag +k: today's change in Treasury General Account (USD bn) against the change in LQ45 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.