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.

10YR real yield (TIPS) against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
UST 10YR ust10y	0.96	0.90	0.90	251	0.91	−0.02	0.75	scatter
5YR real yield (TIPS) tips5y	0.95	0.92	0.88	237	0.93	−0.01	0.78	scatter
10YR term premium (Kim-Wright) tp10_kw	0.98	0.83	0.87	233	0.89	−0.05	1.67	scatter
UST 2YR ust2y	0.80	0.80	0.76	251	0.79	+0.01	0.57	scatter
3M-10YR slope s3m10	0.86	0.61	0.73	238	0.81	−0.20	0.61	scatter
DXY dxy	0.40	0.39	0.36	249	0.22	+0.18	3.93	scatter
S&P 500 spx	−0.39	−0.28	−0.34	249	−0.19	−0.09	−1.49	scatter
Nasdaq 100 ndx	−0.20	−0.18	−0.29	249	−0.15	−0.03	−0.84	scatter
Brent brent	0.36	0.33	0.22	249	0.18	+0.15	0.23	scatter
PHLX Semiconductor (SOX) sox	−0.09	−0.06	−0.20	249	−0.10	+0.04	−0.26	scatter
Copper copper	−0.03	−0.13	−0.20	249	−0.02	−0.11	−0.41	scatter
Real SRBI 12M (SRBI - CPI) id_real_srbi	–	−0.09	−0.17	34	−0.17	+0.08	−0.02	scatter
Gold gold	−0.29	−0.27	−0.15	249	−0.06	−0.21	−0.30	scatter
Bitcoin btc	−0.15	−0.24	−0.13	251	−0.02	−0.22	−0.18	scatter
10YR breakeven inflation be10y	−0.18	0.00	0.13	238	0.24	−0.24	0.23	scatter
INDOGB 10YR real yield (10YR - CPI) id_real10y	−0.39	0.05	−0.10	171	−0.10	+0.15 ⇄	−0.02	scatter
2s10s slope s2s10	0.11	0.01	0.09	238	0.12	−0.12	0.12	scatter
LQ45 lq45	0.10	−0.09	−0.08	231	−0.10	+0.01	−0.17	scatter
JCI (IHSG) jci	0.23	0.03	−0.08	231	−0.09	+0.12 ⇄	−0.17	scatter
INDOGB 10YR id10y	−0.39	−0.07	0.05	201	0.13	−0.21 ⇄	0.02	scatter
USD/IDR usdidr	0.11	−0.01	0.03	250	0.07	−0.07 ⇄	0.19	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 10YR real yield (TIPS) 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 ↓

10YR real yield (TIPS) · Bitcoin

20 60 120 252

Rolling correlation of daily changes over the last 120 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	−0.04	−0.02	0.05	0.12	0.06	0.05	0.10	0.11	0.05	−0.03	−0.13	−0.05	0.03	−0.01	−0.05	0.01	0.03	−0.03	0.09	0.03	−0.18

Lag +k: today's change in 10YR real yield (TIPS) against the change in Bitcoin k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.