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.

INDOGB 10YR real yield (10YR - CPI) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
INDOGB 10YR id10y	0.72	0.58	0.40	180	0.40	+0.18	0.92	scatter
DXY dxy	−0.52	0.04	−0.26	171	−0.26	+0.30 ⇄	−15.11	scatter
S&P 500 spx	0.20	0.22	0.15	171	0.15	+0.07	3.73	scatter
UST 2YR ust2y	−0.23	0.06	−0.14	171	−0.14	+0.20 ⇄	−0.57	scatter
UST 10YR ust10y	−0.38	0.01	−0.14	171	−0.14	+0.15 ⇄	−0.64	scatter
5YR real yield (TIPS) tips5y	−0.01	0.03	−0.10	169	−0.10	+0.13 ⇄	−0.52	scatter
Real SRBI 12M (SRBI - CPI) id_real_srbi	–	0.87	−0.10	30	−0.10	+0.97 ⇄	−0.03	scatter
LQ45 lq45	−0.52	−0.12	−0.10	175	−0.10	−0.02	−1.11	scatter
10YR real yield (TIPS) tips10y	−0.39	0.05	−0.10	171	−0.10	+0.15 ⇄	−0.57	scatter
Nasdaq 100 ndx	−0.02	0.10	0.09	171	0.09	+0.01	1.49	scatter
Bitcoin btc	0.07	−0.21	0.09	178	0.09	−0.30 ⇄	0.60	scatter
USD/IDR usdidr	0.30	0.00	0.09	176	0.09	−0.09 ⇄	4.06	scatter
Copper copper	−0.21	−0.08	0.08	171	0.08	−0.16 ⇄	0.95	scatter
Brent brent	−0.36	−0.07	0.08	171	0.08	−0.15 ⇄	0.41	scatter
JCI (IHSG) jci	−0.62	−0.07	−0.07	175	−0.07	0.00	−0.79	scatter
PHLX Semiconductor (SOX) sox	−0.01	0.08	0.06	171	0.06	+0.02	0.37	scatter
Gold gold	−0.29	−0.07	0.03	171	0.03	−0.10 ⇄	0.30	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

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 INDOGB 10YR real yield (10YR - CPI) 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 ↓

INDOGB 10YR real yield (10YR - CPI) · INDOGB 10YR

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	0.07	0.11	−0.04	0.03	0.00	0.10	−0.09	0.00	−0.05	0.07	0.40	−0.14	−0.20	−0.09	−0.15	−0.13	0.13	0.02	0.03	−0.11	0.04

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