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 (PH) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
JCI (IHSG) jci	–	–	−0.80	6	0.08	–	−0.46	scatter
USD/IDR usdidr	–	–	0.78	7	0.22	–	0.58	scatter
LQ45 lq45	–	–	−0.76	6	0.04	–	−0.41	scatter
Real effective exchange rate (JP) reer_JP	–	−0.88	−0.57	12	−0.03	−0.85	−0.59	scatter
PHLX Semiconductor (SOX) sox	–	–	0.53	7	0.15	–	0.16	scatter
Real effective exchange rate (CN) reer_CN	–	0.95	0.44	12	0.17	+0.79	0.55	scatter
Gold gold	–	–	0.44	7	0.47	–	0.24	scatter
Copper copper	–	–	0.42	7	0.55	–	0.26	scatter
Nasdaq 100 ndx	–	–	0.39	7	0.31	–	0.22	scatter
Bitcoin btc	–	–	−0.37	7	0.03	–	−0.14	scatter
S&P 500 spx	–	–	0.36	7	0.22	–	0.23	scatter
DXY dxy	–	–	−0.35	7	0.01	–	−0.69	scatter
Real effective exchange rate (IN) reer_IN	–	0.99	0.32	12	0.04	+0.94	0.23	scatter
Real effective exchange rate (ID) reer_ID	–	−0.90	0.29	12	0.24	−1.14 ⇄	0.26	scatter
Brent brent	–	–	−0.24	7	−0.17	–	−0.07	scatter
Real effective exchange rate (KR) reer_KR	–	−1.00	−0.23	12	−0.07	−0.93	−0.10	scatter
Real effective exchange rate (MY) reer_MY	–	−0.74	−0.15	12	−0.09	−0.65	−0.11	scatter
INDOGB 10YR id10y	–	0.18	−0.14	7	−0.40	+0.58 ⇄	−0.02	scatter
UST 2YR ust2y	–	–	0.10	7	0.19	–	0.02	scatter
UST 10YR ust10y	–	–	0.09	7	−0.04	–	0.01	scatter
Real effective exchange rate (MX) reer_MX	–	−0.63	0.03	12	0.07	−0.70 ⇄	0.02	scatter
Real effective exchange rate (BR) reer_BR	–	−0.18	−0.02	12	−0.11	−0.06	−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 (PH) 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 (PH) · JCI (IHSG)

20 60 120 252

Not enough common dates for a rolling correlation.

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	–	–	–	–	–	–	–	0.86	0.94	−0.38	−0.80	−0.05	0.59	0.93	–	–	–	–	–	–	–

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