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AUD/USD Correlations Dip For Yields, But Higher For Equities

AUD

A$ correlations continue to move around. Since last week's update, they have dipped for yield differentials, likewise for global commodities, but are higher for global equities.

  • The table below presents the levels correlations for AUD/USD and various cross asset drivers for the past week and month.
  • The correlations with yield differentials have dipped, although more so at the back end, remaining positive on a 2yr differential basis.
  • The AU-US 2yr differential continues to fall, back to -43.5bps today, down around 12bps for the week. 5 and 10yr spreads have been steadier over the past week, although the skew remains to the down side.
  • In terms of other cross assets, commodities and equities have remained on the backfoot for the most part, owing to recessionary fears. The A$ correlation with commodity prices has fallen though, but remains elevated for the past month, likewise for iron ore.
  • For equities it has recovered, with the AUD generally following global sentiment shifts this past week.

Table 1: AUD/USD Correlations

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A$ correlations continue to move around. Since last week's update, they have dipped for yield differentials, likewise for global commodities, but are higher for global equities.

  • The table below presents the levels correlations for AUD/USD and various cross asset drivers for the past week and month.
  • The correlations with yield differentials have dipped, although more so at the back end, remaining positive on a 2yr differential basis.
  • The AU-US 2yr differential continues to fall, back to -43.5bps today, down around 12bps for the week. 5 and 10yr spreads have been steadier over the past week, although the skew remains to the down side.
  • In terms of other cross assets, commodities and equities have remained on the backfoot for the most part, owing to recessionary fears. The A$ correlation with commodity prices has fallen though, but remains elevated for the past month, likewise for iron ore.
  • For equities it has recovered, with the AUD generally following global sentiment shifts this past week.

Table 1: AUD/USD Correlations

Keep reading...Show less