4 ms·
Both are FRED series (CBBTCUSD and WALCL). Rolling one year correlations of one week deltas: 0.3 +-+----+------+------+------+------+-----+------+------+-
by rmrfstar 6y ago
Both are FRED series (CBBTCUSD and WALCL). Rolling one year correlations of one week deltas:
0.3 +-+----+------+------+------+------+-----+------+------+------+----+-+
+ + + + + A + + + + +
| A AA |
0.2 +-+ AA AAAAAAA+
| AAA AA AAA AA |
0.1 +-+ AAAAA AA AA A A +-+
| AAAAA AAA A AA |
| AA A |
0 +-+ A AA AA AAA +-+
| A AA A |
| A AA AAA A |
-0.1 +A+ AAA AA A A +-+
|AAA A AAAAA AAAA |
|A A A |
-0.2 A-+ AAAAA A AAA AA +-+
A AA AA AAAAA |
-0.3 +-+ AA +-+
| A |
+ + + + + + + + + + +
-0.4 +-+----+------+------+------+------+-----+------+------+------+----+-+
2017/1/1 2018/11/25 2020/10/11
- microtherion 6y agoSo ELI5 what I am seeing here. Aren't those correlations all over the place?
- rmrfstar 6y agoYup, that's my takeaway. You see the same thing when you use future Fed moves as well (which is one way of checking that this graph isn't missing out on some announcement effect, as assets lag announcements).