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.

DXY against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Broad trade-weighted USD usd_broad	−0.82	0.73	0.75	231	0.86	−0.13	0.78	scatter
UST 2YR ust2y	0.32	0.39	0.45	249	0.37	+0.02	0.03	scatter
Gold gold	−0.32	−0.51	−0.38	254	−0.34	−0.16	−0.07	scatter
UST 10YR ust10y	0.39	0.31	0.37	249	0.27	+0.04	0.03	scatter
Copper copper	−0.04	−0.23	−0.34	254	−0.26	+0.04	−0.06	scatter
S&P 500 spx	−0.32	−0.28	−0.33	252	−0.18	−0.10	−0.13	scatter
Nasdaq 100 ndx	−0.09	−0.21	−0.27	252	−0.16	−0.05	−0.07	scatter
Brent brent	0.01	0.03	0.22	254	0.23	−0.20	0.02	scatter
PHLX Semiconductor (SOX) sox	−0.07	−0.15	−0.21	252	−0.14	−0.01	−0.02	scatter
Bitcoin btc	−0.13	−0.32	−0.20	253	−0.05	−0.27	−0.02	scatter
Real effective exchange rate (US) reer_US	–	–	−0.17	7	0.01	–	−0.05	scatter
JCI (IHSG) jci	0.11	−0.06	−0.12	234	−0.16	+0.10	−0.02	scatter
LQ45 lq45	0.11	−0.07	−0.08	234	−0.15	+0.08	−0.01	scatter
INDOGB 10YR id10y	−0.52	0.08	0.05	201	0.18	−0.11	0.00	scatter
USD/IDR usdidr	0.20	0.05	0.03	253	0.27	−0.22	0.02	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 DXY 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 ↓

DXY · Broad trade-weighted USD

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	0.03	−0.02	0.09	−0.06	−0.21	−0.05	−0.06	0.06	0.04	0.03	0.75	0.23	0.09	−0.01	0.04	−0.08	−0.17	−0.09	0.04	0.06	−0.08

Lag +k: today's change in DXY against the change in Broad trade-weighted USD k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.