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/IDR against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
EUR/USD eurusd	−0.02	−0.15	−0.20	260	−0.36	+0.21	−0.30	scatter
USD/KRW usdkrw	−0.02	0.08	0.20	260	0.39	−0.31	0.15	scatter
INDOGB 10YR id10y	0.30	0.07	0.17	207	0.28	−0.21	0.01	scatter
USD/MYR usdmyr	0.05	−0.07	0.10	247	0.40	−0.48 ⇄	0.14	scatter
USD/JPY usdjpy	−0.42	−0.01	0.07	260	0.17	−0.18 ⇄	0.08	scatter
Copper copper	−0.22	−0.05	0.07	252	−0.11	+0.06	0.02	scatter
USD/HKD usdhkd	0.33	0.07	0.07	247	0.06	0.00	0.91	scatter
PHLX Semiconductor (SOX) sox	−0.01	0.05	0.07	251	−0.12	+0.17 ⇄	0.01	scatter
LQ45 lq45	−0.32	−0.17	−0.06	240	−0.25	+0.08	−0.02	scatter
JCI (IHSG) jci	−0.25	−0.14	−0.06	240	−0.24	+0.10	−0.02	scatter
USD/INR usdinr	−0.43	−0.03	0.05	247	0.13	−0.16 ⇄	0.05	scatter
USD/CNY usdcny	0.10	0.01	0.05	260	0.23	−0.22	0.15	scatter
Bitcoin btc	0.10	0.10	−0.05	261	−0.05	+0.14 ⇄	−0.01	scatter
S&P 500 spx	−0.12	0.06	0.03	251	−0.17	+0.23 ⇄	0.02	scatter
DXY dxy	0.25	0.05	0.03	252	0.27	−0.22	0.04	scatter
Nasdaq 100 ndx	−0.09	0.06	0.03	251	−0.16	+0.22 ⇄	0.01	scatter
Brent brent	0.04	−0.14	−0.02	252	0.07	−0.21 ⇄	0.00	scatter
USD/PHP usdphp	0.50	0.19	0.02	247	0.31	−0.12	0.01	scatter
UST 2YR ust2y	0.25	−0.03	−0.02	249	0.03	−0.06 ⇄	0.00	scatter
UST 10YR ust10y	0.03	−0.11	0.00	249	0.08	−0.19 ⇄	0.00	scatter
Gold gold	−0.47	−0.19	0.00	252	−0.09	−0.10	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/IDR 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/IDR · EUR/USD

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	−0.04	−0.02	−0.03	0.06	0.07	−0.01	0.03	0.00	−0.10	−0.01	−0.20	−0.03	−0.02	0.09	0.05	−0.03	0.12	0.10	−0.10	0.01	−0.08

Lag +k: today's change in USD/IDR 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.