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.

Brazil 10YR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Bund 10YR de10y	0.42	0.48	0.49	278	0.42	+0.06	1.50	scatter
Brent brent	0.71	0.39	0.40	228	0.26	+0.13	1.23	scatter
S&P 500 spx	−0.55	−0.27	−0.40	228	−0.22	−0.05	−5.31	scatter
Copper copper	−0.56	−0.25	−0.39	228	−0.28	+0.03	−2.49	scatter
DXY dxy	0.04	0.18	0.34	228	0.19	−0.01	11.21	scatter
Gold gold	−0.77	−0.22	−0.32	228	−0.29	+0.07	−1.90	scatter
UST 10YR ust10y	0.41	0.29	0.31	229	0.01	+0.28	0.79	scatter
Nasdaq 100 ndx	−0.65	−0.21	−0.31	228	−0.21	0.00	−2.67	scatter
UST 2YR ust2y	0.24	0.32	0.29	229	0.01	+0.30	0.67	scatter
Bitcoin btc	−0.73	−0.28	−0.25	240	−0.26	−0.02	−0.97	scatter
JCI (IHSG) jci	−0.04	0.06	−0.23	217	−0.22	+0.28 ⇄	−1.53	scatter
LQ45 lq45	−0.03	0.00	−0.20	217	−0.24	+0.24 ⇄	−1.28	scatter
PHLX Semiconductor (SOX) sox	−0.72	−0.10	−0.20	228	−0.18	+0.08	−0.77	scatter
INDOGB 10YR id10y	−0.09	−0.11	0.11	213	0.17	−0.27 ⇄	0.14	scatter
USD/IDR usdidr	0.60	0.02	0.08	234	0.17	−0.15	1.75	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 Brazil 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 ↓

Brazil 10YR · Bund 10YR

20 60 120 252

Rolling correlation of daily changes over the last 120 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	−0.12	−0.02	−0.08	0.09	−0.05	0.02	−0.03	−0.07	0.07	−0.04	0.49	−0.08	0.01	0.00	−0.11	0.03	−0.12	0.06	−0.16	−0.06	−0.06

Lag +k: today's change in Brazil 10YR against the change in Bund 10YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.