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.

Mexico IPC against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Gold gold	0.30	0.45	0.48	231	0.32	+0.14	0.28	scatter
Bovespa bvsp	−0.01	0.35	0.47	242	0.52	−0.18	0.46	scatter
S&P 500 spx	0.31	0.40	0.46	231	0.48	−0.08	0.62	scatter
Nasdaq 100 ndx	0.30	0.37	0.43	231	0.46	−0.08	0.37	scatter
PHLX Semiconductor (SOX) sox	0.27	0.27	0.40	231	0.43	−0.16	0.15	scatter
Copper copper	0.35	0.39	0.40	231	0.35	+0.04	0.25	scatter
DXY dxy	−0.42	−0.28	−0.36	231	−0.29	+0.01	−1.24	scatter
Brent brent	−0.44	−0.40	−0.31	231	−0.13	−0.27	−0.10	scatter
UST 10YR ust10y	−0.51	−0.31	−0.27	231	−0.16	−0.15	−0.07	scatter
UST 2YR ust2y	−0.69	−0.31	−0.27	231	−0.10	−0.21	−0.06	scatter
Bitcoin btc	−0.01	0.38	0.24	239	0.13	+0.24	0.10	scatter
Shanghai Composite shcomp	0.06	0.05	0.21	231	0.24	−0.19	0.24	scatter
Nifty 50 nifty	0.10	0.10	0.19	227	0.19	−0.09	0.24	scatter
CSI 300 csi300	−0.03	0.01	0.16	232	0.25	−0.24	0.15	scatter
Hang Seng hsi	−0.25	−0.03	0.15	228	0.29	−0.31 ⇄	0.14	scatter
Straits Times sti	0.78	0.25	0.13	232	0.32	−0.07	0.19	scatter
FTSE Bursa Malaysia KLCI klci	0.78	0.41	0.11	240	0.23	+0.19	0.20	scatter
JCI (IHSG) jci	−0.38	0.19	0.09	220	0.17	+0.02	0.06	scatter
LQ45 lq45	−0.02	0.31	0.09	220	0.18	+0.13	0.06	scatter
KOSPI kospi	−0.25	−0.08	0.08	226	0.15	−0.23 ⇄	0.02	scatter
INDOGB 10YR id10y	0.08	0.12	−0.04	212	−0.13	+0.25 ⇄	−0.01	scatter
USD/IDR usdidr	−0.39	0.03	−0.03	238	−0.21	+0.23 ⇄	−0.06	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 Mexico IPC 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 ↓

Mexico IPC · Hang Seng

20 60 120 252

Rolling correlation of daily changes over the last 252 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	0.04	−0.02	0.08	−0.04	−0.06	−0.03	−0.04	−0.01	−0.10	0.11	0.15	0.22	0.01	−0.13	0.05	−0.01	0.07	−0.05	0.08	0.01	−0.02

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