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.

Overnight reverse repo (USD bn) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
Fed balance sheet (USD mn) walcl	0.45	0.33	0.45	52	0.44	−0.10	0.40	scatter
Fed net liquidity (balance sheet - TGA - RRP) net_liq	0.05	−0.20	−0.12	52	−0.14	−0.06	−0.03	scatter
JCI (IHSG) jci	−0.21	−0.20	−0.12	218	−0.09	−0.12	−0.63	scatter
USD/IDR usdidr	−0.05	−0.06	−0.11	236	−0.06	0.00	−2.27	scatter
LQ45 lq45	−0.26	−0.26	−0.11	218	−0.09	−0.17	−0.55	scatter
PHLX Semiconductor (SOX) sox	−0.37	0.00	−0.06	236	0.04	−0.05 ⇄	−0.22	scatter
DXY dxy	0.63	0.01	−0.05	236	0.11	−0.10	−1.53	scatter
S&P 500 spx	−0.56	−0.15	−0.04	236	0.08	−0.23 ⇄	−0.53	scatter
UST 2YR ust2y	0.51	0.18	−0.04	237	−0.05	+0.24 ⇄	−0.08	scatter
Treasury General Account (USD bn) tga	−0.08	0.24	0.03	52	0.05	+0.19	0.01	scatter
Gold gold	0.29	0.05	−0.03	236	−0.15	+0.19 ⇄	−0.16	scatter
Bitcoin btc	0.10	0.01	−0.03	237	−0.09	+0.10 ⇄	−0.10	scatter
Brent brent	−0.15	0.01	0.01	236	0.00	+0.01	0.03	scatter
INDOGB 10YR id10y	−0.02	0.08	0.01	210	0.08	0.00	0.01	scatter
Bank reserves (USD bn) reserves	0.16	−0.10	0.01	52	−0.01	−0.09	0.00	scatter
Nasdaq 100 ndx	−0.41	−0.07	−0.01	236	0.05	−0.12 ⇄	−0.07	scatter
UST 10YR ust10y	0.33	0.20	−0.01	237	0.01	+0.18	−0.01	scatter
Copper copper	−0.38	−0.13	0.00	236	−0.06	−0.07	0.00	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 Overnight reverse repo (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 ↓

Overnight reverse repo (USD bn) · Fed balance sheet (USD mn)

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	−0.07	−0.03	−0.19	0.01	−0.16	0.00	−0.22	−0.06	0.09	0.17	0.45	−0.56	0.07	−0.01	0.04	0.13	0.05	0.07	0.06	0.18	0.04

Lag +k: today's change in Overnight reverse repo (USD bn) against the change in Fed balance sheet (USD mn) k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.