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Correlation
of values
-44%
In sync
of periods
51%
History
monthsmonths · through 2026-07
283
These move in the same direction about 51% of the time
Their swing sizes loosely mirror each other (~19% of the pattern is shared).
Roughly random — these don't track each other in a meaningful way.
Both lines start at the same point — easy to compare when growth rates are similar.
What to Watch
Smoothed U.S. Recession Probabilities moves ~4 months before 5Y Breakeven Inflation
Watch Smoothed U.S. Recession Probabilities for an early read on 5Y Breakeven Inflation.
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)
51%
Headline metric
Movement correlation(i)
-44%
Based on values
95% CI
-53% → -34%
Likely range of correlation
Pipeline
Pipeline Summary
283 paired data points survived the monthly window.
Raw input
5,921
710
Normalized
5,921
710
Prepared
285
710
Aligned
283
283
Invalid removed
R²(i)
19%
Variance explained
Significance
p < 0.001
Statistical confidence
Data points(i)
283
Robust
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
-4 months
Correlation at this shift
-49%
+5% stronger than no-shift baseline
Smoothed U.S. Recession Probabilities shifted 4 months later. Reads: "Does 5Y Breakeven Inflation today line up with Smoothed U.S. Recession Probabilities 4 months ago?"
279 overlapping points at this shift
Baseline
-44%
No-shift correlation, matching the main time-series chart above.
Peak shift
-4 months
-49%
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
-4%
61 periods · Return correlation when both series rose
Both Falling
+90%
40 periods · Return correlation when both series fell
Diverging
-34%
115 periods · Return correlation when series moved apart
Scatter
0
A: 0 / B: 0
Duplicates removed
0
A: 0 / B: 0
Alignment drops
429
A: 2 / B: 427
Series A
5Y Breakeven Inflation
T5YIE
FRED · 5,921 raw → 285 prepared
Series B
Smoothed U.S. Recession Probabilities
RECPROUSM156N
FRED · 710 raw → 710 prepared
Sign agreement
98.9%
How often both values share the same sign.
Zero crossings
6
Estimated crossover points between normalized spreads.
Slope
-17.2559
Linear regression slope.
Intercept
40.5708
Linear regression intercept.
Saved 4 months ago · ID: fred-recprousm156n_fred-t5yie_monthly_5y