MNI BRIEF: BOJ Tankan To Show Slipping Sentiment

MNI: PBOC Net Drains CNY288.1 Bln via OMO Friday

MNI: PBOC Sets Yuan Parity Lower At 7.1848 Fri; -1.64% Y/Y

BRIEF: EU-Mercosur Deal In Final Negotiations - EC

MNI China Daily Summary: Thursday, Dec 5

MNI BRIEF: China Construction Output Slows In November

US EIA:NAT GAS STORAGE -30 BCF TO 3,937 BCF NOV 29 WK

MNI: CANADIAN OCT TRADE BALANCE CAD -0.9 BILLION

MNI: US OCT TRADE GAP -$73.8B VS SEP -$83.8B

MNI EXCLUSIVE: EU-Mercosur Deal Close, But Likely Short-Lived - Officials

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

A$ Correlations Rise With Yield Differentials, Lower For Iron Ore, Global Equities

AUD

AUD/USD correlations have swung back in favour of rate differentials. This has come at the expense of global equities and iron ore prices. The table below plots the level correlations between AUD/USD and key macro drivers for the past week and month.

  • Correlations have shot higher with government bond yield differentials over the past week, with the 5yr spread recording the firmest correlation. This also holds over the past month as well.
  • Yield differentials remain skewed against the AUD, particularly in light of recent Fed rhetoric, which has pushed higher terminal rate expectations for next year. We are away from trough points for the year though
  • Correlations with global commodities remains fairly firm. Recent weakness in these indices has coincided with the A$ moving off recent highs.
  • The same can't be said for iron ore, which has continued to recover, despite some softness in metals elsewhere. Correlations with global equities are also down a touch, more so with the VIX though.

Fig 1: AUD/USD Correlations

1wk1mth
2yr yield differential0.89-0.14
5yr yield differential0.970.50
10yr yield differential0.890.44
Global commodity prices0.800.73
Base metals0.610.92
Iron ore-0.180.77
Global equities 0.510.92
US VIX index0.57-0.75

Source: MNI - Market News/Bloomberg

BulletMarketsForeign Exchange BulletsHomepage
BulletMarketsForeign Exchange BulletsHomepage

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.