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Correlation
of values
-68%
In sync
of periods
41%
History
monthsmonths · through 2026-07
35
These move in the same direction about 41% of the time
When one swings, the other often swings by a similar amount in the opposite direction (~46% of the pattern is shared).
A real but noisy link — useful as context, risky as a standalone signal.
Both lines start at the same point — easy to compare when growth rates are similar.
What to Watch
HY Bond Spread moves ~12 months before Real Disposable Income
Watch HY Bond Spread for an early read on Real Disposable Income.
Tighter in drawdowns
The relationship is stronger when both prices are falling than when both are rising — typical risk-off behaviour.
Flips between sync and inverse
Sometimes the two move together, sometimes opposite. Don't treat this as a stable signal.
Advanced
Statistics
In sync(i)
41%
Headline metric
Movement correlation(i)
-68%
Based on values
95% CI
-82% → -44%
Likely range of correlation
Pipeline
Pipeline Summary
35 paired data points survived the monthly window.
Raw input
811
785
Normalized
811
785
Prepared
811
37
Aligned
35
35
Invalid removed
R²(i)
46%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
35
Thin
Time-Shifted Correlation
See how correlation changes when one series is offset in time. A taller bar at a non-zero shift means the two move together better when one leads the other — that's a potential lead/lag signal.
Correlation by shift
Click a bar to inspect. Range: -18 to 18 months.
Selected shift
-12 months
Correlation at this shift
-77%
+9% stronger than no-shift baseline
HY Bond Spread shifted 12 months later. Reads: "Does Real Disposable Income today line up with HY Bond Spread 12 months ago?"
23 overlapping points at this shift
Baseline
-68%
No-shift correlation, matching the main time-series chart above.
Peak shift
-12 months
-77%
A non-zero peak suggests one series lines up better when shifted against the other.
Stability
How the correlation evolves over time. A stable line means the relationship is reliable; large swings signal regime-dependent behavior.
Do They Crash Together?
How these series behave when markets are rising, falling, or diverging. A correlation that holds in drawdowns is very different from one that only works in rallies.
Both Rising
+72%
9 periods · Return correlation when both series rose
Both Falling
+95%
5 periods · Return correlation when both series fell
Diverging
-66%
20 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
778
A: 776 / B: 2
Series A
Real Disposable Income
DSPIC96
FRED · 811 raw → 811 prepared
Series B
HY Bond Spread
BAMLH0A0HYM2
FRED · 785 raw → 37 prepared
Sign agreement
100.0%
How often both values share the same sign.
Zero crossings
1
Estimated crossover points between normalized spreads.
Slope
-0.0012
Linear regression slope.
Intercept
24.4987
Linear regression intercept.
Saved 4 months ago · ID: fred-bamlh0a0hym2_fred-dspic96_monthly_5y