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.

5YR real yield (TIPS) against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
DXY dxy	0.59	0.54	0.37	235	0.22	+0.32	4.57	scatter
3M-10YR slope s3m10	0.51	0.41	0.55	250	0.68	−0.27	0.51	scatter
Bitcoin btc	−0.24	−0.27	−0.11	237	−0.02	−0.25	−0.16	scatter
10YR breakeven inflation be10y	−0.30	−0.12	0.03	250	0.13	−0.25 ⇄	0.06	scatter
Real SRBI 12M (SRBI - CPI) id_real_srbi	–	−0.38	−0.13	33	−0.13	−0.25	−0.02	scatter
2s10s slope s2s10	−0.35	−0.28	−0.19	250	−0.06	−0.22	−0.27	scatter
USD/IDR usdidr	−0.77	−0.18	−0.01	236	0.02	−0.20 ⇄	−0.08	scatter
Copper copper	−0.82	−0.19	−0.20	235	−0.03	−0.16	−0.46	scatter
INDOGB 10YR id10y	−0.18	−0.08	0.05	209	0.08	−0.16 ⇄	0.02	scatter
Gold gold	0.05	−0.25	−0.17	235	−0.10	−0.15	−0.38	scatter
INDOGB 10YR real yield (10YR - CPI) id_real10y	−0.01	0.03	−0.10	169	−0.10	+0.13 ⇄	−0.02	scatter
LQ45 lq45	0.27	−0.22	−0.08	217	−0.09	−0.13	−0.19	scatter
Brent brent	0.54	0.18	0.06	235	0.07	+0.11	0.07	scatter
UST 10YR ust10y	0.90	0.72	0.74	237	0.82	−0.10	0.69	scatter
10YR term premium (Kim-Wright) tp10_kw	0.82	0.72	0.75	247	0.79	−0.07	1.64	scatter
Nasdaq 100 ndx	−0.91	−0.20	−0.24	235	−0.14	−0.06	−0.77	scatter
S&P 500 spx	−0.91	−0.23	−0.25	235	−0.17	−0.06	−1.24	scatter
UST 2YR ust2y	0.90	0.86	0.78	237	0.83	+0.03	0.67	scatter
10YR real yield (TIPS) tips10y	0.95	0.92	0.88	237	0.93	−0.01	0.99	scatter
PHLX Semiconductor (SOX) sox	−0.78	−0.08	−0.16	235	−0.09	+0.01	−0.23	scatter
JCI (IHSG) jci	0.43	−0.10	−0.09	217	−0.09	0.00	−0.20	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Policy rate tvm_US_intr	–	–	–	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 5YR real yield (TIPS) 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 ↓

5YR real yield (TIPS) · DXY

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	0.09	0.04	0.04	0.04	−0.02	0.03	−0.03	−0.04	0.04	−0.02	0.37	0.08	0.06	0.03	0.03	−0.08	−0.04	−0.06	0.00	0.10	0.07

Lag +k: today's change in 5YR real yield (TIPS) 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.