High Correlation
The 120-day correlation between Canada’s currency and oil has climbed to 0.67, up from 0.52 four months ago, according to data compiled by Bloomberg. A reading of 1 implies two markets trade in lockstep.
As recently as December, the Canadian dollar and crude were the most highly correlated among all major currencies and their country’s key commodity export. While the loonie’s link to the commodity has since been topped by the Russian ruble, it’s still more closely associated to oil than Mexico’s peso or Norway’s krone, and more than Brazil’s real is to soy beans, or Australia’s dollar to iron ore.