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Gold-Risk Currency Correlations Largely Unchanged as Yields, Fundamentals Drive

By David Liu
01 April 2012 02:36 GMT

The following table includes the correlation between gold and the most popular currency pairs over various timeframes. A value close to +1 indicates a strong positive relationship between gold and the pair, while a value close to -1 indicates a strong negative relationship. Colored values indicate week-to-week changes of over 30%.

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Gold

USD/CAD

AUD/USD

NZD/USD

EUR/USD

GBP/USD

USD/JPY

USD/CHF

3 Day 15 Min

0.01

-0.33

-0.08

0.20

0.13

-0.14

-0.22

1 Week 60 Min

-0.61

0.80

0.80

0.88

0.83

0.03

-0.89

2 Week 60 Min

-0.22

0.48

0.83

0.82

0.74

-0.63

-0.85

1 Month Daily

-0.40

0.72

0.55

0.38

-0.18

-0.10

-0.30

Gold-Forex Correlations for the previous week can be found here.

Weekly Commentary: Longer term correlations between gold and risky currencies were largely unchanged from last week as yields and fundamental trends continued to drive both markets in the absence of major market events. The Euro was pressured as the markets questioned Spain’s financial stability, while gold dropped as the Fed’s minutes revealed that there might not be large asset purchases again unless the US economy significantly weakened.

US data is once again expected to drive gold and FX markets this week. Although the market’s reaction to worse than expected NFPs from last Friday during the market holiday is expected to highlight Monday’s trades, Chinese economic data and US CPI on Friday may shape the overall trend and views of Fed action through the rest of the month.

Gold-Forex_Correlations_04092012_Correlations_With_Risk_Currencies_Still_Elevated_body_Picture_1.png, Gold-Risk Currency Correlations Largely Unchanged as Yields, Fundamentals Drive

Gold-Forex_Correlations_04092012_Correlations_With_Risk_Currencies_Still_Elevated_body_Picture_2.png, Gold-Risk Currency Correlations Largely Unchanged as Yields, Fundamentals Drive

Gold-Forex_Correlations_04092012_Correlations_With_Risk_Currencies_Still_Elevated_body_Picture_3.png, Gold-Risk Currency Correlations Largely Unchanged as Yields, Fundamentals Drive

Gold-Forex_Correlations_04092012_Correlations_With_Risk_Currencies_Still_Elevated_body_Picture_4.png, Gold-Risk Currency Correlations Largely Unchanged as Yields, Fundamentals Drive

-- Written by David Liu, DailyFX Research

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01 April 2012 02:36 GMT