CPI vs WTI Crude Oil: Correlation Analysis
Pearson correlation of daily returns for CPI (All Urban) and WTI Crude Oil (FRED Daily). Rolling windows, yearly breakdown, regression beta, and divergence analysis. Data window spans to (35 aligned observations).
What the Number Means
The 0.52 correlation indicates that CPI (All Urban) and WTI Crude Oil (FRED Daily) have a moderate tendency to move together. The relationship is real but noisy, with frequent days where they disagree. Regime context matters: the correlation often strengthens during stress and weakens during calm periods.
Recent vs Long-Run Behavior
Recent correlation tracks the long-run relationship closely. No meaningful divergence. The historical pattern between CPI (All Urban) and WTI Crude Oil (FRED Daily) is intact and should continue to serve as a reasonable baseline for positioning.
Statistical Details (1-Year Window)
| Pearson Correlation (r) | +0.518 |
| R-Squared (r²) | 0.268 |
| Beta (CPI (All Urban) vs WTI Crude Oil (FRED Daily)) | 0.021 |
| Daily Volatility σ(CPI (All Urban)) | 0.46% |
| Daily Volatility σ(WTI Crude Oil (FRED Daily)) | 11.33% |
| Observations | 35 |
Correlation measures directional co-movement; R² quantifies the fraction of variance explained by the linear relationship. Beta is the slope coefficient from regressing CPI (All Urban) returns on WTI Crude Oil (FRED Daily) returns. A beta above 1 means the first asset amplifies moves of the second.
Year-by-Year Correlation
| Year | Correlation | Strength | Observations |
|---|---|---|---|
| 2025 | +0.216 | Weak positive | 5 |
| 2024 | +0.086 | Essentially uncorrelated | 8 |
| 2023 | +0.317 | Weak positive | 8 |
| 2022 | +0.777 | Strong positive | 9 |
| 2021 | +0.144 | Essentially uncorrelated | 5 |
Year-by-year correlation reveals how the relationship has held up across different macro regimes. Sharp year-over-year swings in correlation often mark the transition between stress and calm periods.
Methodology
Correlations are computed on daily log-adjacent returns for CPI (All Urban) and WTI Crude Oil (FRED Daily), aligned on shared trading dates. We use the Pearson product-moment coefficient, which measures the linear relationship between two return series.
Windows are the most recent N observations for 30D, 90D, and 1Y (252 trading days); the 5Y figure uses all aligned data up to 1,260 observations. Beta is the OLS slope from regressing the first series on the second. Data updates daily with a 24-hour revalidation cadence.
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Get daily macro analysis on shifting correlations, regime transitions, and cross-asset signals.
Correlation is not causation and backward-looking statistics can fail when regimes shift. Positions sized on historical correlation assumptions should be stress-tested against scenarios where the relationship breaks. For informational purposes only.