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.

SOFR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
USD/IDR usdidr	0.15	0.12	−0.20	236	0.01	+0.11	−1.74	scatter
Nasdaq 100 ndx	0.37	0.23	0.14	236	0.03	+0.19	0.49	scatter
S&P 500 spx	0.50	0.23	0.12	236	0.03	+0.19	0.63	scatter
10YR real yield (TIPS) tips10y	−0.57	−0.17	−0.11	237	−0.12	−0.05	−0.14	scatter
SRBI 9M awarded yield (w.avg) srbi9m	–	−0.25	0.11	34	0.11	−0.36 ⇄	0.02	scatter
Copper copper	0.64	0.35	0.11	236	0.02	+0.32	0.28	scatter
10YR term premium (Kim-Wright) tp10_kw	−0.63	−0.16	−0.10	245	−0.17	+0.02	−0.27	scatter
PHLX Semiconductor (SOX) sox	0.35	0.21	0.10	236	0.03	+0.19	0.15	scatter
SRBI 6M awarded yield (w.avg) srbi6m	–	−0.35	0.09	34	0.09	−0.44 ⇄	0.02	scatter
10YR breakeven inflation be10y	−0.04	0.08	0.07	250	−0.03	+0.10 ⇄	0.17	scatter
UST 10YR ust10y	−0.52	−0.15	−0.06	237	−0.11	−0.04	−0.07	scatter
UST 2YR ust2y	−0.55	−0.21	−0.06	237	−0.11	−0.10	−0.06	scatter
Gold gold	0.10	−0.03	−0.05	236	−0.04	+0.02	−0.12	scatter
SRBI 12M awarded yield (w.avg) srbi12m	–	−0.34	0.05	34	0.05	−0.39 ⇄	0.01	scatter
INDOGB 10YR id10y	0.01	−0.01	−0.03	210	−0.01	+0.01	−0.02	scatter
DXY dxy	−0.44	−0.03	−0.02	236	−0.05	+0.02	−0.32	scatter
Brent brent	−0.05	−0.04	0.02	236	−0.07	+0.03	0.02	scatter
2s10s slope s2s10	0.15	0.10	0.01	250	0.02	+0.09	0.02	scatter
Bitcoin btc	−0.12	−0.01	−0.01	237	−0.11	+0.10	−0.01	scatter
LQ45 lq45	0.31	−0.03	0.00	218	0.04	−0.07 ⇄	0.00	scatter
JCI (IHSG) jci	0.25	0.01	0.00	218	0.06	−0.06	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Policy rate tvm_US_intr	–	–	–	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 SOFR 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 ↓

SOFR · USD/IDR

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	−0.08	0.03	−0.08	0.09	0.02	0.05	0.02	−0.10	0.21	−0.13	−0.20	0.21	−0.10	−0.02	−0.03	−0.01	−0.02	0.11	−0.14	0.07	0.06

Lag +k: today's change in SOFR against the change in USD/IDR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.