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/KRW against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
EUR/USD eurusd	−0.14	−0.36	−0.44	260	−0.52	+0.16	−0.84	scatter
USD/JPY usdjpy	0.53	0.36	0.44	260	0.44	−0.08	0.59	scatter
LQ45 lq45	−0.09	−0.21	−0.32	240	−0.27	+0.06	−0.11	scatter
JCI (IHSG) jci	−0.09	−0.22	−0.31	240	−0.26	+0.05	−0.11	scatter
USD/MYR usdmyr	0.39	0.34	0.31	246	0.43	−0.09	0.58	scatter
INDOGB 10YR id10y	0.26	0.29	0.29	206	0.32	−0.02	0.02	scatter
USD/IDR usdidr	−0.01	0.09	0.20	260	0.39	−0.30	0.25	scatter
USD/PHP usdphp	0.38	0.11	0.15	246	0.29	−0.18	0.17	scatter
UST 10YR ust10y	−0.42	−0.32	−0.15	250	0.17	−0.49 ⇄	−0.02	scatter
USD/INR usdinr	0.49	0.14	0.14	246	0.19	−0.05	0.20	scatter
USD/CNY usdcny	0.05	0.13	0.11	260	0.25	−0.12	0.46	scatter
S&P 500 spx	0.23	0.17	0.11	252	−0.04	+0.21 ⇄	0.09	scatter
UST 2YR ust2y	−0.28	−0.18	−0.10	250	0.15	−0.32 ⇄	−0.01	scatter
PHLX Semiconductor (SOX) sox	0.23	0.08	0.08	252	−0.01	+0.09 ⇄	0.02	scatter
Nasdaq 100 ndx	0.19	0.10	0.07	252	−0.03	+0.13 ⇄	0.04	scatter
Copper copper	0.45	0.10	0.07	252	−0.12	+0.22 ⇄	0.03	scatter
Gold gold	0.45	0.07	−0.06	252	−0.13	+0.20 ⇄	−0.02	scatter
USD/HKD usdhkd	0.32	0.12	−0.05	246	−0.05	+0.18 ⇄	−0.95	scatter
Bitcoin btc	0.32	0.10	0.05	259	0.05	+0.05	0.01	scatter
Brent brent	−0.29	−0.22	0.02	252	0.06	−0.29 ⇄	0.00	scatter
DXY dxy	0.03	0.10	0.00	252	0.33	−0.23	−0.01	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/KRW 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/KRW · USD/JPY

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	0.04	−0.11	0.00	−0.09	−0.02	−0.09	0.01	−0.01	0.11	−0.03	0.44	−0.01	0.06	0.08	−0.03	0.01	0.03	−0.13	0.01	−0.03	−0.06

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