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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

1wk1mth
2yr yield differential-0.01-0.27
5yr yield differential0.15-0.23
10yr yield differential0.11-0.40
Global commodity prices0.800.45
Base metals0.900.64
Iron ore0.83-0.46
Global equities 0.910.81
US VIX index-0.22-0.75

Source: MNI - Market News/Bloomberg

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