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.

Unemployment rate against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
LQ45 lq45	–	–	1.00	3	−0.42	–	0.11	scatter
INDOGB 10YR id10y	–	–	−1.00	3	0.10	–	0.00	scatter
JCI (IHSG) jci	–	–	0.95	3	−0.56	–	0.07	scatter
Brent brent	–	–	−0.83	5	−0.28	–	−0.01	scatter
UST 2YR ust2y	–	–	−0.82	5	−0.49	–	−0.01	scatter
S&P 500 spx	–	–	0.75	5	−0.04	–	0.08	scatter
Nasdaq 100 ndx	–	–	0.73	5	−0.03	–	0.04	scatter
Sahm rule indicator us_sahm	–	0.38	0.72	11	0.46	−0.07	0.71	scatter
USD/IDR usdidr	–	–	−0.72	5	0.39	–	−0.23	scatter
UST 10YR ust10y	–	–	−0.63	5	−0.38	–	−0.01	scatter
Gold gold	–	–	0.58	5	0.48	–	0.02	scatter
PHLX Semiconductor (SOX) sox	–	–	0.57	5	0.03	–	0.01	scatter
DXY dxy	–	–	−0.54	5	−0.17	–	−0.12	scatter
Bitcoin btc	–	–	0.36	6	0.22	–	0.01	scatter
Payrolls MoM ('000) us_nfp	–	0.99	−0.22	11	0.02	+0.97	0.00	scatter
Copper copper	–	–	−0.13	5	−0.02	–	−0.01	scatter
Job openings ('000) us_jolts	–	–	−0.13	10	−0.12	–	0.00	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter
United States Unemployment rate tvm_US_ur	–	–	–	0	–	–	–	scatter
Initial claims us_claims	–	–	–	2	0.71	–	–	scatter
Brazil Unemployment rate tvm_BR_ur	–	–	–	0	–	–	–	scatter
China Unemployment rate tvm_CN_ur	–	–	–	0	–	–	–	scatter
India Unemployment rate tvm_IN_ur	–	–	–	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 Unemployment rate 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 ↓

Unemployment rate · LQ45

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	–	–	–	–	–	–	–	–	–	–	1.00	–	–	–	–	–	–	–	–	–	–

Lag +k: today's change in Unemployment rate against the change in LQ45 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.