Forex – Exchange Rate Correlations
The Forex currency correlation charts below show exchange rate correlations between the specified FX currencies.
Any of the highly correlated readings (over the 75 level) are moving in the same direction while the opposite is true for negative (-75 level) values which are typically moving in the opposite direction. Low readings have minimal correlation over the specified time period.
- EURUSD and USDCHF are at 96% over a 30 day period average as the SNB cap holds these currencies (EURCHF) tightly in sync with each other.
- From the information below we can see that the commodity currencies have been strongly correlated over the 30 week period with AUD/USD & USD/CAD @ –91.1%.
- Taking this analysis further. The AUD had decoupled from Gold somewhat with a 48.7% reading over 30 weeks but the previous 30 day correlation coefficient shows a reading of 72%.
Gold – AUD/USD Correlation
30 Day Forex Correlations
30 Week Forex Correlations