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A$ Correlations Weaken With Yield Spreads/Iron Ore, Firmer Elsewhere​

AUD

AUD/USD correlations with yield differentials have dipped in the past week, but remain positive for the past month. The table below presents the levels correlations for AUD/USD and key macro drivers over the past week and month.

  • Higher AUD/USD levels today (+0.43%, the best performer within the G10 space) look to be associated with better yield spread momentum against the US. Still, the AUD is slightly lower in the past week as yield momentum has improved, which explains the correlation result.
  • In contrast, correlations with global commodities and base metals are quite firm, although more so for the past week rather past month. Iron ore's correlation has dipped though.
  • The correlation with global equities remains quite high, less so for the VIX in recent weeks.

Table 1: AUD/USD Correlations

1wk1mth
2yr yield differential-0.870.42
5yr yield differential-0.940.36
10yr yield differential-0.940.17
Global commodity prices0.89-0.09
Base metals0.810.60
Iron ore-0.750.36
Global equities 0.890.52
US VIX index-0.47-0.28

Source: MNI - Market News/Bloomberg

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