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.

Thailand 10YR against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
Nasdaq 100 ndx	−0.63	−0.27	−0.15	110	−0.02	−0.25	−0.41	scatter
Copper copper	−0.52	−0.25	−0.14	110	0.00	−0.25 ⇄	−0.34	scatter
Bitcoin btc	−0.51	−0.26	−0.09	116	−0.03	−0.23	−0.20	scatter
S&P 500 spx	−0.58	−0.29	−0.14	110	−0.06	−0.23	−0.70	scatter
PHLX Semiconductor (SOX) sox	−0.80	−0.19	−0.10	110	0.02	−0.21 ⇄	−0.12	scatter
USD/IDR usdidr	0.36	0.27	0.16	114	0.09	+0.18	1.79	scatter
Gold gold	−0.56	−0.25	−0.20	110	−0.11	−0.14	−0.53	scatter
DXY dxy	0.46	0.18	−0.01	110	0.06	+0.12	−0.12	scatter
UST 10YR ust10y	0.47	0.24	0.14	111	0.17	+0.07	0.16	scatter
INDOGB 10YR id10y	0.32	0.27	0.45	96	0.34	−0.07	0.17	scatter
UST 2YR ust2y	0.41	0.21	0.09	111	0.15	+0.06	0.09	scatter
JCI (IHSG) jci	−0.24	−0.15	−0.27	106	−0.10	−0.05	−0.63	scatter
Brent brent	0.59	0.28	0.21	110	0.23	+0.05	0.24	scatter
LQ45 lq45	−0.22	−0.11	−0.26	106	−0.06	−0.05	−0.55	scatter
Brazil 10YR br10y	0.27	0.14	0.13	117	0.14	+0.01	0.07	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
INDOGB 5Y idgb_5y	–	–	–	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 Thailand 10YR 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 ↓

Thailand 10YR · Nasdaq 100

20 60 120 252

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	0.10	−0.02	0.11	0.04	0.00	0.31	−0.01	−0.02	0.10	−0.20	−0.15	−0.11	−0.02	0.13	0.01	0.18	0.24	−0.02	0.00	−0.04	−0.07

Lag +k: today's change in Thailand 10YR 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.