Retail Sales Correlations

t is not news that news moves financial markets. This blog will publish research on how, when, why, and which news moves what financial markets. It is important to know how different currency pairs move in relation to each other to manage portfolio exposure. Some currency pairs move together, while others move in opposite directions. Whether you are looking to hedge, diversify your positions, or find alternate pairs to leverage your view, it is important to account for the correlation between various currency pairs. In the last post I suggested that for those looking at economic announcements return correlations using data from announcement days are the most useful. Here is a set of correlations for the Retail Sales (ex-autos) announcement in the U.S. for the most traded currencies.

Calculated:	Feb 6 2007
Data From:	Feb 13 2001 (January 2001 release)
Data to:	Dec 13 2006 (November 2006 release)
Announcement:	Retail Sales (ex-autos)
By:	John C. Parker
	1-minute return correlation
		Correlation Coefficients, using the observations 1 - 71
		5% critical value(two-tailed) = 0.2335 for n = 71
	AUD	CAD	CHF	EUR	GBP	JPY
	1	-0.6816	-0.7672	0.7755	0.759	-0.707	AUD
		1	0.7193	-0.6596	-0.6659	0.5896	CAD
			1	-0.9635	-0.9051	0.8233	CHF
				1	0.9212	-0.847	EUR
					1	-0.79	GBP
						1	JPY
	5-minute return correlation
		Correlation Coefficients, using the observations 1 - 71
		5% critical value(two-tailed) = 0.2335 for n = 71
	AUD	CAD	CHF	EUR	GBP	JPY
	1	-0.632	-0.7237	0.7075	0.7452	-0.657	AUD
		1	0.6061	-0.6044	-0.5514	0.5866	CAD
			1	-0.9829	-0.9056	0.8347	CHF
				1	0.9092	-0.84	EUR
					1	-0.845	GBP
						1	JPY
	10-minute return correlation
		Correlation Coefficients, using the observations 1 - 71
		5% critical value(two-tailed) = 0.2335 for n = 71
	AUD	CAD	CHF	EUR	GBP	JPY
	1	-0.6801	-0.6913	0.6974	0.6813	-0.703	AUD
		1	0.5742	-0.5811	-0.4945	0.6132	CAD
			1	-0.9812	-0.8691	0.8178	CHF
				1	0.895	-0.807	EUR
					1	-0.736	GBP
						1	JPY
	20-minute return correlation
		Correlation Coefficients, using the observations 1 - 71
		5% critical value(two-tailed) = 0.2335 for n = 71
	AUD	CAD	CHF	EUR	GBP	JPY
	1	-0.6915	-0.7418	0.7805	0.7476	-0.627	AUD
		1	0.58	-0.6022	-0.5234	0.5736	CAD
			1	-0.9757	-0.8799	0.6684	CHF
				1	0.8931	-0.678	EUR
					1	-0.694	GBP
						1	JPY
	30-minute return correlation
		Correlation Coefficients, using the observations 1 - 71
		5% critical value(two-tailed) = 0.2335 for n = 71
	AUD	CAD	CHF	EUR	GBP	JPY
	1	-0.6505	-0.7858	0.8068	0.7017	-0.642	AUD
		1	0.5347	-0.525	-0.4108	0.4609	CAD
			1	-0.9738	-0.844	0.7219	CHF
				1	0.8651	-0.706	EUR
					1	-0.649	GBP
						1	JPY

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