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/MYR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
USD/CNY usdcny	0.23	0.24	0.31	247	0.46	−0.22	0.65	scatter
USD/KRW usdkrw	0.39	0.33	0.31	247	0.43	−0.09	0.16	scatter
EUR/USD eurusd	−0.55	−0.27	−0.24	247	−0.39	+0.12	−0.24	scatter
INDOGB 10YR id10y	0.18	0.11	0.23	218	0.26	−0.15	0.01	scatter
USD/JPY usdjpy	0.08	0.12	0.18	247	0.32	−0.20	0.12	scatter
USD/PHP usdphp	−0.17	0.04	0.16	258	0.35	−0.32	0.10	scatter
DXY dxy	−0.31	0.00	0.12	240	0.29	−0.29 ⇄	0.13	scatter
LQ45 lq45	0.07	−0.11	−0.10	227	−0.22	+0.11	−0.02	scatter
USD/IDR usdidr	0.05	−0.07	0.10	247	0.40	−0.48 ⇄	0.07	scatter
Bitcoin btc	0.07	−0.05	0.09	247	0.00	−0.05	0.01	scatter
JCI (IHSG) jci	0.30	−0.07	−0.07	227	−0.21	+0.14	−0.02	scatter
Brent brent	0.16	0.02	−0.07	240	0.04	−0.03	−0.01	scatter
UST 10YR ust10y	−0.04	0.03	0.06	239	0.20	−0.17	0.01	scatter
USD/HKD usdhkd	0.15	0.18	−0.06	258	0.05	+0.12	−0.59	scatter
Nasdaq 100 ndx	0.06	0.12	−0.06	240	−0.15	+0.26 ⇄	−0.02	scatter
USD/INR usdinr	0.14	−0.09	0.06	258	0.15	−0.24 ⇄	0.04	scatter
S&P 500 spx	0.14	0.09	−0.05	240	−0.17	+0.26 ⇄	−0.02	scatter
Copper copper	0.41	0.23	0.03	240	−0.12	+0.35 ⇄	0.01	scatter
PHLX Semiconductor (SOX) sox	0.14	0.22	−0.03	240	−0.08	+0.30 ⇄	0.00	scatter
UST 2YR ust2y	−0.10	0.03	0.02	239	0.19	−0.16	0.00	scatter
Gold gold	0.33	0.08	0.02	240	−0.07	+0.16 ⇄	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/MYR 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/MYR · USD/CNY

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	0.06	0.06	−0.02	0.00	−0.06	−0.08	−0.02	−0.04	−0.04	0.06	0.31	0.04	0.05	−0.09	0.04	0.09	−0.12	−0.07	−0.03	0.06	0.06

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