Top 50 Federal Reserve Economic Data (FRED) Points and its Correlation with SPY, VIX, GLD, BTC — Data Analysis
In this post we look at the correlation between the 50 most popular datasets in the FRED database with SPY, VIX, GLD and BTC. The datasets cover a wide range of themes including: Growth, Prices and Inflation, Money Supply, Interest Rates, Employment, Income and Expenditure, Other Economic Indicators, Debt.
Although this is far from exhaustive it gives a brief look at some popular economic data points and how they relate to the stocks, volatility, gold and Bitcoin. I’ve included charts of the most and least correlated data points below for visual reference (all charts here). While it’s unclear on certain charts like BTC, it’s safe to say GLD has a clear negative correlation with Treasury Maturity Rates (5 year followed by 10 and 30 year) , VIX is closely correlated with Financial Stress (who would’ve guessed?!), and the M1 Money Supply is going up with the rising stock market. Nothing not already known but it’s nice to dive into new datasets and discover for yourself. I’m personally keen to dive further into Gold vs Treasury Maturity Rates, SPY correlations, and adding more data points.
SPY is most correlated with the M1 Money Stock and least with the Natural Rate of Unemployment (Long-Term)
VIX is most correlated with the St. Louis Fed Financial Stress Index and least with the Leading Index for the United States
GLD is most correlated with the Federal Debt: Total Public Debt as Percent of Gross Domestic Product and least with the 5-Year Treasury Constant Maturity Rate
BTC is most correlated with the Gross Private Domestic Investment and least with the Civilian Unemployment Rate
Disclaimer: this post is for educational purposes only.