What actually moves these pairs, measured
We measured how every pair on this site responds to two things: market fear, measured by the VIX index, and US interest rates, measured by government bond yields. Five years of daily data.
Each finding below is written in plain terms first, with a worked example and what it means for a position you might be holding. The statistics are underneath for anyone who wants to check them.
None of this is a trading signal. These forces are real but small — together they explain less than a tenth of what a currency does on a given day. Treat them as context for decisions you are making for other reasons.
When markets get scared, the Swiss franc goes up against almost everything. It is the single most reliable fear reaction in currencies.
US government bond yields move currencies, but which bond you should watch depends on which currency you trade.
In a panic, traders buy the dollar AND the yen AND the franc. So pairs made of two safe currencies barely move, even though huge sums are changing hands.
Gold moves about three times harder than any currency when US interest rate expectations change, because gold pays no interest and bonds do.
These relationships are real and they show up consistently — but they explain less than a tenth of what a currency does on a given day.
We split the same trades by market fear, by carry, and by what the big funds were doing. Fading the crowd lost money in every single group.
| Instrument | VIX | US2Y | US10Y | US30Y |
|---|---|---|---|---|
| XAUUSD proxy | -0.053 | -0.276 | -0.235 | -0.148 |
| USDCHF | -0.053 | +0.253 | +0.214 | +0.151 |
| AUDCHF | -0.208 | +0.070 | +0.011 | -0.019 |
| USDJPY | -0.019 | +0.202 | +0.194 | +0.150 |
| EURUSD | -0.030 | -0.197 | -0.156 | -0.095 |
| NZDCHF | -0.187 | +0.043 | -0.000 | -0.021 |
| CADCHF | -0.161 | +0.187 | +0.146 | +0.106 |
| NZDUSD | -0.113 | -0.172 | -0.176 | -0.142 |
| NZDJPY | -0.175 | +0.029 | +0.008 | +0.001 |
| EURAUD | +0.173 | -0.006 | +0.065 | +0.094 |
| GBPCHF | -0.173 | +0.107 | +0.071 | +0.054 |
| AUDUSD | -0.141 | -0.144 | -0.166 | -0.141 |
| GBPUSD | -0.094 | -0.161 | -0.152 | -0.104 |
| AUDJPY | -0.153 | +0.056 | +0.021 | +0.004 |
| NZDCAD | -0.052 | -0.140 | -0.147 | -0.130 |
| AUDCAD | -0.097 | -0.112 | -0.144 | -0.139 |
| CADJPY | -0.099 | +0.128 | +0.121 | +0.102 |
| EURNZD | +0.126 | +0.027 | +0.074 | +0.091 |
| EURCAD | +0.084 | -0.125 | -0.080 | -0.040 |
| USDCAD | +0.125 | +0.117 | +0.113 | +0.076 |
| EURCHF | -0.120 | +0.106 | +0.106 | +0.098 |
| GBPJPY | -0.106 | +0.065 | +0.061 | +0.058 |
| EURJPY | -0.087 | +0.066 | +0.088 | +0.096 |
| GBPCAD | -0.006 | -0.089 | -0.084 | -0.060 |
| GBPAUD | +0.088 | +0.019 | +0.057 | +0.076 |
| GBPNZD | +0.049 | +0.055 | +0.071 | +0.078 |
| AUDNZD | -0.064 | +0.051 | +0.017 | -0.001 |
| EURGBP | +0.057 | -0.035 | +0.013 | +0.029 |
| CHFJPY | +0.028 | -0.020 | +0.007 | +0.020 |
Greyed values are not statistically significant. Hover any figure for its t-statistic. Gold is marked as a proxy because its price here comes from COMEX futures rather than spot.
Each instrument's daily percentage return is regressed on the daily change in each market series. Changes rather than levels, because regressing two trending series on each other produces a strong correlation that means nothing.
Reported are the correlation, the beta (percent the pair moves per one unit change in the series), the t-statistic, and the number of overlapping days. Only days where both sides moved are used. The window is five years.
Prices come from daily closes, and market series from FRED. The whole study is recomputed nightly, so the numbers on these pages are current rather than a snapshot of when they were written.