CAD and oil hour-scale correlation: it's safer to rely on CAD

In the recent forex/CFD data, USD/CAD is negatively correlated with light oil (WTI) CFD. This is the same as saying that CAD, one of the commodity currencies, is positively correlated with oil. This is old news. In this article I take a deeper look at the issue and analyze the shape of the correlation peak. Analyzed on the hour time scale, the correlation peak is broad and somewhat asymmetric, indicating that it is much safer to rely on the guidance of USD/CAD in predicting the oil price, rather than other way round. The necessary caveat is that this is a time-integrated picture, covering a period from late August 2008.

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