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
|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|
|US VIX index||-0.98||-0.83|
Source: MNI - Market News/Bloomberg