November 10, 2022 00:03 GMT
A$ Correlations - Global Risk Factors Back In the Driver's Seat
AUD
AUD/USD correlations have swung back sharply in favour of global risk drivers. The table below presents the latest levels correlations for AUD/USD, for the past week and month, with key global macro drivers.
- We have seen a sharp pull back in correlations with yield spreads, which is typically the case once the RBA decision is cleared. The trend in spreads has stabilised somewhat, with the 2 yr differential ranging between -130-140bps in recent sessions.
- The correlations with global commodity prices have rebounded, with base metals slightly firmer than the aggregate index.
- Iron ore's correlation has also risen noticeably in the past week. Likely on account of renewed focus on China's ZCS.
- The global equities correlation has also rebounded, but less so for the VIX.
Table 1: AUD/USD Correlations
1wk | 1mth | |
2yr yield differential | -0.01 | -0.27 |
5yr yield differential | 0.15 | -0.23 |
10yr yield differential | 0.11 | -0.40 |
Global commodity prices | 0.80 | 0.45 |
Base metals | 0.90 | 0.64 |
Iron ore | 0.83 | -0.46 |
Global equities | 0.91 | 0.81 |
US VIX index | -0.22 | -0.75 |
Source: MNI - Market News/Bloomberg
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