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.

Real effective exchange rate (BR) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Gold gold	–	–	0.75	7	−0.01	–	1.15	scatter
DXY dxy	–	–	−0.72	7	0.21	–	−3.90	scatter
S&P 500 spx	–	–	0.61	7	0.04	–	1.10	scatter
UST 2YR ust2y	–	–	−0.60	7	−0.77	–	−0.37	scatter
UST 10YR ust10y	–	–	−0.57	7	−0.77	–	−0.28	scatter
INDOGB 10YR id10y	–	−1.00	−0.56	7	0.26	−1.26 ⇄	−0.29	scatter
Nasdaq 100 ndx	–	–	0.45	7	−0.28	–	0.70	scatter
Real effective exchange rate (ID) reer_ID	–	−0.27	−0.45	12	−0.22	−0.04	−0.77	scatter
Copper copper	–	–	0.39	7	0.04	–	0.66	scatter
PHLX Semiconductor (SOX) sox	–	–	0.36	7	−0.37	–	0.29	scatter
Bitcoin btc	–	–	0.34	7	−0.48	–	0.36	scatter
Real effective exchange rate (IN) reer_IN	–	−0.33	−0.34	12	−0.50	+0.17	−0.48	scatter
Real effective exchange rate (MY) reer_MY	–	0.80	0.30	12	0.06	+0.73	0.43	scatter
Real effective exchange rate (KR) reer_KR	–	0.17	−0.18	12	0.15	+0.02	−0.15	scatter
Real effective exchange rate (JP) reer_JP	–	−0.31	−0.16	12	−0.15	−0.16	−0.33	scatter
Real effective exchange rate (CN) reer_CN	–	0.12	−0.13	12	0.00	+0.12 ⇄	−0.32	scatter
USD/IDR usdidr	–	–	0.08	7	0.39	–	0.17	scatter
Brent brent	–	–	−0.06	7	−0.28	–	−0.05	scatter
JCI (IHSG) jci	–	–	−0.03	6	−0.50	–	−0.04	scatter
Real effective exchange rate (PH) reer_PH	–	−0.18	−0.02	12	−0.11	−0.06	−0.04	scatter
LQ45 lq45	–	–	−0.01	6	−0.55	–	−0.01	scatter
Real effective exchange rate (MX) reer_MX	–	−0.65	0.00	12	0.35	−0.99 ⇄	−0.01	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 Real effective exchange rate (BR) 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 ↓

Real effective exchange rate (BR) · INDOGB 10YR

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	–	–	–	–	–	–	−0.42	0.38	−0.50	0.72	−0.56	−0.27	0.52	−0.25	0.99	–	–	–	–	–	–

Lag +k: today's change in Real effective exchange rate (BR) 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.