A$ Correlations - Global Risk Factors Back In the Driver's Seat
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
|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|
|US VIX index||-0.22||-0.75|
Source: MNI - Market News/Bloomberg