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of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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Free AccessA$ Correlations: All About Risk Appetite
AUD/USD correlations have swung sharply towards global risk barometers. The table below plots the rolling 1 week and 1-month levels correlations between the A$ and various macro drivers.
- Short term correlations with yield spreads remain negative and are lower compared to our last update. Actual spreads are away from their worst levels but haven't shown a noticeable trend in recent sessions. The AU-US 2yr is around -78bps currently.
- In contrast the correlations with global commodities, both aggregate and base metals, has surged. It's the same story for global equities as well.
- Indeed, this morning's bounce in AUD/USD has coincided with a pick-up in US equity futures.
- For iron ore correlations we are down slightly, with iron ore steadying in the past week, while AUD/USD has made fresh cyclical lows.
Table 1: AUD/USD Levels Correlations
1wk | 1mth | |
2yr yield differential | -0.88 | 0.68 |
5yr yield differential | -0.57 | 0.82 |
10yr yield differential | -0.45 | 0.63 |
Global commodity prices | 0.98 | 0.89 |
Base metals | 0.99 | 0.65 |
Iron ore | 0.34 | 0.37 |
Global equities | 0.96 | 0.94 |
US VIX index | -0.98 | -0.83 |
Source: MNI - Market News/Bloomberg
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.