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.

US public debt outstanding against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
Average interest rate on marketable US debt us_avg_rate	–	−0.69	−0.22	8	−0.09	−0.60	−0.91	scatter
UST 10YR ust10y	−0.20	−0.26	−0.06	237	0.06	−0.32 ⇄	0.00	scatter
UST 2YR ust2y	−0.20	−0.24	−0.10	237	0.05	−0.30 ⇄	0.00	scatter
Copper copper	0.16	0.19	0.02	237	0.02	+0.18	0.00	scatter
INDOGB 10YR id10y	0.27	0.11	−0.01	210	−0.05	+0.17 ⇄	0.00	scatter
Brent brent	0.17	−0.13	−0.02	237	0.03	−0.16 ⇄	0.00	scatter
PHLX Semiconductor (SOX) sox	0.16	0.10	0.04	237	−0.01	+0.11 ⇄	0.00	scatter
DXY dxy	−0.40	−0.03	−0.10	237	0.07	−0.10 ⇄	−0.01	scatter
Gold gold	−0.12	−0.06	0.00	237	0.01	−0.08 ⇄	0.00	scatter
LQ45 lq45	−0.43	0.06	−0.03	219	0.01	+0.04	0.00	scatter
USD/IDR usdidr	0.08	0.09	0.06	238	0.05	+0.04	0.00	scatter
Nasdaq 100 ndx	−0.02	0.03	0.03	237	0.00	+0.03 ⇄	0.00	scatter
Bitcoin btc	−0.07	0.00	−0.08	238	0.03	−0.03	0.00	scatter
S&P 500 spx	0.10	0.01	0.00	237	0.02	−0.01	0.00	scatter
JCI (IHSG) jci	−0.38	0.04	−0.05	219	0.03	+0.01	0.00	scatter
US federal deficit, rolling 12M us_deficit_12m	–	–	0.18	6	0.22	–	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Budget balance / GDP tvm_US_gbp	–	–	–	0	–	–	–	scatter
United States Government debt / GDP tvm_US_gdg	–	–	–	0	–	–	–	scatter
Budget balance / GDP (FY) us_def_gdp	–	–	–	0	–	–	–	scatter
Federal debt / GDP us_debt_gdp	–	–	–	1	–	–	–	scatter
Federal interest payments (USD bn saar) us_interest	–	–	–	2	–	–	–	scatter
Brazil Budget balance / GDP tvm_BR_gbp	–	–	–	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 US public debt outstanding 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 ↓

US public debt outstanding · Average interest rate on marketable US debt

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	–	–	–	–	–	0.08	0.49	−0.60	0.03	−0.16	−0.22	0.01	−0.29	0.14	−0.23	−0.46	–	–	–	–	–

Lag +k: today's change in US public debt outstanding against the change in Average interest rate on marketable US debt k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.