A$ Correlations - Global Equities Still Holding Sway

AUD/USD correlations are mostly lower in terms of traditional macro drivers. The table below presents the 1 week and 1-month correlations in levels terms between the A$ and a number of macro variables.

• For yield spreads, correlations are down a touch compared to early October, particularly at the front end. The general trend in spreads has been to move against the AUD, albeit at a reasonable pace, rather than a dramatic move in recent weeks. The 2yr AU-US spread sits a little wider than -100bps today, while the 10yr spread is just above 0bps.
• Correlations with commodity prices are elevated for the past week, but down noticeably over the past month. This likely owes to lower AUD/USD levels over this period, but greater resilience in the commodity space (i.e. not as weak as the A$ over this period).
• Correlations with global equities are down over the past week, but strong for the past month. Likewise, for the VIX correlation, although less so in the past week for this variable.

Table 1: AUD/USD Correlations

Source: MNI - Market News/Bloomberg