Sep 24 2009
Correlation of Stocks and EUR/JPY
For a while during the height of the risk aversion action EUR/JPY and the stock market were very closely linked. This was reflective of the carry trade and how investors had a hair trigger getting out of it when they became worried. That relationship has been fairly choppy of late, however, as Zero Hedge observed today.
Here’s a chart of the 1mo rolling correlation between EUR/JPY and the S&P 500. Notice how at several points in the last year it’s been well short of strongly positive and has even gone well negative.

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