Wednesday, April 25, 2012

Correlation between Copper and Chilean Peso (3)

Happy to provide the missing piece of the additional analysis requested by a reader.

Calculated correlation based on monthly, quarterly and yearly time series using 12 months, 10 quarters and 5 years on a rolling basis. Plotted below against copper market share of exports.

Following conclusions can be drawn:
  • For shorter time intervals you get more noise, but an a yearly basis you get very high correlation (i.e. low correlation coefficient smaller than -80%)
  • There seem to be periods with high correlation regimes (1992-1998, 2003 to present)
  • Correlation breaks-down in 1989-2991 and 1999-2002

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