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.

Bank reserves (USD bn) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Treasury General Account (USD bn) tga	−0.98	−0.97	−0.95	52	−0.63	−0.34	−0.99	scatter
Fed net liquidity (balance sheet - TGA - RRP) net_liq	0.98	0.98	0.95	52	0.72	+0.26	0.94	scatter
DXY dxy	–	0.03	−0.26	49	−0.26	+0.29 ⇄	−49.00	scatter
Brent brent	–	−0.41	−0.25	49	−0.24	−0.16	−3.91	scatter
LQ45 lq45	–	−0.32	0.24	46	0.18	−0.50 ⇄	7.82	scatter
UST 2YR ust2y	–	−0.05	−0.21	50	−0.16	+0.10	−2.67	scatter
JCI (IHSG) jci	–	−0.29	0.20	46	0.14	−0.42 ⇄	6.56	scatter
USD/IDR usdidr	–	−0.33	−0.18	49	−0.21	−0.12	−26.09	scatter
UST 10YR ust10y	–	−0.39	−0.16	50	−0.13	−0.27	−2.17	scatter
Fed balance sheet (USD mn) walcl	0.28	0.26	0.14	52	0.16	+0.09	0.52	scatter
Copper copper	–	0.70	0.14	49	0.12	+0.58	5.14	scatter
S&P 500 spx	–	0.17	0.13	49	0.13	+0.04	10.51	scatter
Nasdaq 100 ndx	–	0.30	0.12	49	0.13	+0.18	6.83	scatter
PHLX Semiconductor (SOX) sox	–	0.26	0.10	49	0.13	+0.13	2.64	scatter
INDOGB 10YR id10y	0.07	0.25	−0.05	49	−0.08	+0.33 ⇄	−0.48	scatter
Gold gold	–	0.26	0.02	49	0.06	+0.20	0.92	scatter
Bitcoin btc	–	0.24	0.02	50	0.00	+0.24	0.60	scatter
Overnight reverse repo (USD bn) rrp	0.16	−0.10	0.01	52	−0.01	−0.09	0.04	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 Bank reserves (USD bn) 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 ↓

Bank reserves (USD bn) · Treasury General Account (USD bn)

20 60 120 252

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	−0.02	−0.36	−0.13	0.33	0.07	−0.18	−0.03	0.20	0.45	−0.18	−0.95	−0.01	0.49	0.10	−0.05	−0.10	0.12	0.21	−0.23	−0.28	0.15

Lag +k: today's change in Bank reserves (USD bn) against the change in Treasury General Account (USD bn) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.