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.

INDON 10YR - UST 10YR spread against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 2YR ust2y	−1.00	−1.00	−1.00	4	−1.00	0.00	−0.73	scatter
FR 10YR - UST 10YR spread id_ust_spread	1.00	1.00	1.00	3	1.00	0.00	0.75	scatter
Bitcoin btc	−0.99	−0.97	−0.97	4	−0.97	0.00	−1.63	scatter
INDOGB 10YR id10y	0.90	0.90	0.90	3	0.90	0.00	1.13	scatter
UST 10YR ust10y	−0.98	−0.89	−0.89	4	−0.89	0.00	−1.25	scatter
USD/IDR usdidr	−0.67	−0.68	−0.68	4	−0.68	0.00	−3.69	scatter
JCI (IHSG) jci	−0.77	−0.68	−0.68	4	−0.68	0.00	−9.66	scatter
Brent brent	−0.91	−0.55	−0.55	4	−0.55	0.00	−1.64	scatter
DXY dxy	−0.36	−0.38	−0.38	4	−0.38	0.00	−6.41	scatter
S&P 500 spx	0.20	0.26	0.26	4	0.26	0.00	2.93	scatter
LQ45 lq45	1.00	0.16	0.16	4	0.16	0.00	0.66	scatter
Copper copper	−0.98	−0.15	−0.15	4	−0.15	0.00	−0.66	scatter
Gold gold	−0.42	0.11	0.11	4	0.11	0.00	0.62	scatter
Nasdaq 100 ndx	−0.78	−0.05	−0.05	4	−0.05	0.00	−0.36	scatter
PHLX Semiconductor (SOX) sox	−0.97	0.01	0.01	4	0.01	0.00	0.02	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
BI-Rate - Fed funds upper bound bi_fed_gap	–	–	–	3	–	–	–	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

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 INDON 10YR - UST 10YR spread 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 ↓

INDON 10YR - UST 10YR spread · UST 2YR

20 60 120 252

Not enough common dates for a rolling correlation.

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	–	–	–	–	–	–	–	–	–	0.15	−1.00	0.12	–	–	–	–	–	–	–	–	–

Lag +k: today's change in INDON 10YR - UST 10YR spread against the change in UST 2YR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.