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.

China 10YR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	0.03	−0.16	−0.14	214	−0.04	−0.13	−0.21	scatter
INDOGB 10YR id10y	−0.15	0.01	0.13	202	0.05	−0.04	0.04	scatter
LQ45 lq45	−0.26	−0.07	−0.11	214	−0.03	−0.04	−0.16	scatter
Bitcoin btc	0.34	0.34	0.10	235	−0.02	+0.36 ⇄	0.09	scatter
Brent brent	−0.13	0.02	0.07	226	0.08	−0.06	0.05	scatter
Gold gold	0.24	0.12	0.07	226	−0.01	+0.12 ⇄	0.09	scatter
Copper copper	−0.13	−0.02	0.04	226	0.12	−0.14 ⇄	0.06	scatter
DXY dxy	−0.61	−0.19	−0.04	226	0.03	−0.21 ⇄	−0.31	scatter
USD/IDR usdidr	0.19	0.11	0.03	231	−0.01	+0.12 ⇄	0.15	scatter
UST 2YR ust2y	0.39	0.00	−0.03	225	−0.09	+0.09 ⇄	−0.01	scatter
PHLX Semiconductor (SOX) sox	0.08	−0.02	−0.02	226	−0.04	+0.02	−0.02	scatter
S&P 500 spx	−0.12	−0.03	0.02	226	−0.04	+0.01	0.06	scatter
UST 10YR ust10y	0.31	0.00	0.02	225	−0.18	+0.18 ⇄	0.01	scatter
Nasdaq 100 ndx	−0.11	−0.02	−0.01	226	−0.09	+0.06	−0.03	scatter
Brazil 10YR br10y	0.00	0.02	0.01	234	−0.02	+0.03 ⇄	0.00	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 China 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 ↓

China 10YR · JCI (IHSG)

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	0.03	−0.17	0.07	−0.01	−0.11	0.12	−0.01	−0.06	−0.07	0.08	−0.14	0.08	−0.01	−0.03	−0.03	0.01	0.03	−0.11	0.10	0.02	0.02

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