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.

USD/JPY against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
EUR/USD eurusd	−0.31	−0.51	−0.58	260	−0.55	+0.04	−0.82	scatter
USD/KRW usdkrw	0.53	0.36	0.44	260	0.44	−0.08	0.32	scatter
USD/PHP usdphp	0.14	0.20	0.19	246	0.32	−0.13	0.16	scatter
USD/MYR usdmyr	0.11	0.12	0.18	246	0.32	−0.20	0.25	scatter
INDOGB 10YR id10y	−0.42	0.02	0.17	206	0.17	−0.16	0.01	scatter
USD/INR usdinr	0.55	0.20	0.16	246	0.12	+0.08	0.17	scatter
LQ45 lq45	0.07	−0.14	−0.16	240	−0.16	+0.02	−0.04	scatter
JCI (IHSG) jci	0.09	−0.13	−0.16	240	−0.14	+0.01	−0.04	scatter
USD/CNY usdcny	−0.05	0.15	0.14	260	0.17	−0.02	0.43	scatter
Brent brent	−0.30	0.01	0.09	252	0.17	−0.16	0.01	scatter
UST 2YR ust2y	−0.26	−0.11	−0.09	250	0.23	−0.34 ⇄	−0.01	scatter
UST 10YR ust10y	−0.16	−0.11	−0.08	250	0.27	−0.38 ⇄	−0.01	scatter
USD/IDR usdidr	−0.39	0.00	0.08	260	0.17	−0.17	0.07	scatter
USD/HKD usdhkd	−0.35	0.17	0.07	246	0.03	+0.14	0.98	scatter
Gold gold	0.39	0.18	−0.07	252	−0.14	+0.32 ⇄	−0.02	scatter
Nasdaq 100 ndx	0.52	−0.03	−0.05	252	0.05	−0.08 ⇄	−0.02	scatter
PHLX Semiconductor (SOX) sox	0.52	−0.01	−0.03	252	0.06	−0.07 ⇄	−0.01	scatter
DXY dxy	0.09	0.06	0.03	252	0.36	−0.30	0.04	scatter
Copper copper	0.68	−0.01	−0.02	252	−0.08	+0.07	−0.01	scatter
S&P 500 spx	0.47	0.01	−0.02	252	0.04	−0.03	−0.01	scatter
Bitcoin btc	0.33	0.09	−0.02	259	−0.04	+0.13 ⇄	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 USD/JPY 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 ↓

USD/JPY · EUR/USD

20 60 120 252

Rolling correlation of daily changes over the last 20 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	0.01	0.01	0.14	0.18	−0.05	0.08	−0.05	−0.07	−0.05	−0.58	0.03	−0.06	0.04	0.04	0.02	0.05	0.11	−0.10	0.02	0.08

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