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.

Bovespa against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Mexico IPC mxx	−0.01	0.35	0.47	242	0.52	−0.18	0.48	scatter
S&P 500 spx	0.64	0.21	0.38	231	0.38	−0.16	0.52	scatter
DXY dxy	−0.28	−0.18	−0.37	231	−0.29	+0.12	−1.28	scatter
Nasdaq 100 ndx	0.72	0.17	0.30	231	0.34	−0.17	0.27	scatter
PHLX Semiconductor (SOX) sox	0.69	0.15	0.28	231	0.32	−0.17	0.11	scatter
Copper copper	0.38	0.14	0.27	231	0.21	−0.08	0.17	scatter
Brent brent	−0.69	−0.11	−0.24	231	−0.10	−0.02	−0.08	scatter
Gold gold	−0.10	0.05	0.23	231	0.20	−0.16	0.14	scatter
UST 10YR ust10y	−0.68	−0.05	−0.20	231	−0.15	+0.10	−0.05	scatter
Bitcoin btc	0.17	0.12	0.19	237	0.13	−0.01	0.08	scatter
UST 2YR ust2y	−0.50	0.06	−0.15	231	−0.11	+0.17 ⇄	−0.04	scatter
JCI (IHSG) jci	−0.36	0.15	0.10	221	0.17	−0.02	0.07	scatter
LQ45 lq45	−0.20	0.14	0.09	221	0.17	−0.03	0.06	scatter
INDOGB 10YR id10y	0.58	0.26	0.09	213	0.03	+0.23	0.01	scatter
FTSE Bursa Malaysia KLCI klci	0.03	0.11	0.08	237	0.09	+0.01	0.14	scatter
Nifty 50 nifty	0.17	0.00	0.07	225	0.18	−0.17	0.09	scatter
Hang Seng hsi	0.55	−0.01	0.03	227	0.15	−0.16 ⇄	0.03	scatter
KOSPI kospi	−0.16	0.02	0.03	227	0.10	−0.08	0.01	scatter
USD/IDR usdidr	0.19	−0.02	−0.02	236	−0.20	+0.18	−0.05	scatter
Shanghai Composite shcomp	−0.05	0.03	0.01	231	0.13	−0.10	0.01	scatter
CSI 300 csi300	−0.09	−0.05	−0.01	232	0.08	−0.13 ⇄	−0.01	scatter
Straits Times sti	0.84	−0.11	0.01	231	0.15	−0.26 ⇄	0.01	scatter
Newcastle coal coal	–	–	–	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 Bovespa 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 ↓

Bovespa · Mexico IPC

20 60 120 252

Rolling correlation of daily changes over the last 20 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	0.05	0.05	0.07	0.02	−0.02	0.13	−0.02	−0.04	−0.04	0.47	−0.07	0.04	0.02	0.05	−0.01	0.06	−0.11	−0.08	0.08	−0.02

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