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 (CN) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Real effective exchange rate (KR) reer_KR	–	−0.96	−0.71	12	−0.30	−0.65	−0.25	scatter
Real effective exchange rate (JP) reer_JP	–	−0.98	−0.67	12	−0.47	−0.51	−0.56	scatter
DXY dxy	–	–	0.57	7	0.10	–	1.29	scatter
Real effective exchange rate (PH) reer_PH	–	0.95	0.44	12	0.17	+0.79	0.36	scatter
UST 2YR ust2y	–	–	0.42	7	0.45	–	0.11	scatter
Real effective exchange rate (ID) reer_ID	–	−0.99	0.41	12	0.05	−1.04 ⇄	0.29	scatter
INDOGB 10YR id10y	–	−0.12	0.41	7	0.19	−0.30 ⇄	0.08	scatter
LQ45 lq45	–	–	−0.40	6	0.19	–	−0.25	scatter
Real effective exchange rate (IN) reer_IN	–	0.90	0.39	12	0.12	+0.77	0.23	scatter
Bitcoin btc	–	–	−0.37	7	0.17	–	−0.16	scatter
Nasdaq 100 ndx	–	–	0.33	7	0.49	–	0.21	scatter
JCI (IHSG) jci	–	–	−0.32	6	0.26	–	−0.21	scatter
PHLX Semiconductor (SOX) sox	–	–	0.28	7	0.38	–	0.09	scatter
S&P 500 spx	–	–	0.25	7	0.38	–	0.19	scatter
UST 10YR ust10y	–	–	0.23	7	0.24	–	0.05	scatter
Real effective exchange rate (MX) reer_MX	–	−0.84	−0.23	12	−0.11	−0.73	−0.15	scatter
Real effective exchange rate (MY) reer_MY	–	−0.50	0.22	12	−0.04	−0.46	0.13	scatter
USD/IDR usdidr	–	–	−0.20	7	−0.43	–	−0.17	scatter
Brent brent	–	–	0.20	7	0.23	–	0.07	scatter
Real effective exchange rate (BR) reer_BR	–	0.12	−0.13	12	0.00	+0.12 ⇄	−0.06	scatter
Gold gold	–	–	0.09	7	0.33	–	0.06	scatter
Copper copper	–	–	0.09	7	0.42	–	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 Real effective exchange rate (CN) 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 (CN) · Real effective exchange rate (KR)

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	–	0.96	−0.55	−0.86	0.34	0.79	−0.54	−0.64	0.59	−0.32	−0.71	0.18	0.41	−0.71	−0.74	0.56	0.28	−0.84	0.08	0.99	–

Lag +k: today's change in Real effective exchange rate (CN) against the change in Real effective exchange rate (KR) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.