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 federal deficit, rolling 12M against…

Series	1M	3M	1Y	n 1Y	3Y	3M − 3Y ↓	Beta 1Y
Federal interest payments (USD bn saar) us_interest	–	–	−0.98	3	0.34	–	−1.88	scatter
UST 2YR ust2y	–	–	−0.62	5	−0.43	–	−14.30	scatter
LQ45 lq45	–	–	0.60	3	−0.25	–	61.61	scatter
Nasdaq 100 ndx	–	–	0.56	5	0.37	–	36.18	scatter
Brent brent	–	–	−0.54	5	0.09	–	−5.68	scatter
PHLX Semiconductor (SOX) sox	–	–	0.51	5	0.62	–	10.57	scatter
DXY dxy	–	–	−0.47	5	0.05	–	−142.22	scatter
UST 10YR ust10y	–	–	−0.38	5	−0.38	–	−9.39	scatter
Gold gold	–	–	0.38	5	0.38	–	13.84	scatter
JCI (IHSG) jci	–	–	0.35	3	−0.28	–	24.69	scatter
INDOGB 10YR id10y	–	–	−0.33	4	0.16	–	−1.66	scatter
Bitcoin btc	–	–	0.31	6	0.50	–	7.97	scatter
S&P 500 spx	–	–	0.26	5	0.05	–	39.00	scatter
USD/IDR usdidr	–	–	−0.23	5	0.53	–	−98.97	scatter
Copper copper	–	–	−0.20	5	−0.33	–	−10.74	scatter
US public debt outstanding us_debt	–	–	0.18	6	0.22	–	101.16	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
Average interest rate on marketable US debt us_avg_rate	–	–	–	0	–	–	–	scatter
Budget balance / GDP (FY) us_def_gdp	–	–	–	0	–	–	–	scatter
Federal debt / GDP us_debt_gdp	–	–	–	2	−0.31	–	–	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 federal deficit, rolling 12M 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 federal deficit, rolling 12M · Federal interest payments (USD bn saar)

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	–	–	–	–	–	–	–	–	–	–	−0.98	–	–	–	–	–	–	–	–	–	–

Lag +k: today's change in US federal deficit, rolling 12M against the change in Federal interest payments (USD bn saar) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.