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A$ Correlations: All About Risk Appetite

AUD

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

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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

Keep reading...Show less