Interest Rate Correlation Analysis

20-Year Analysis: ECB Rate, US Fed Rate & EUR/USD Exchange Rate (2006-2026)

Fed ↔ ECB Correlation
0.816

Very Strong Positive

Central banks move in tandem

Fed ↔ EUR/USD Correlation
-0.221

Weak Negative

Higher US rates weaken euro

ECB ↔ EUR/USD Correlation
0.214

Weak Positive

Higher EU rates strengthen euro

Historical Trends (2006-2026)
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2006-02-012008-03-012010-04-012012-05-012014-06-012016-07-012018-08-012020-09-012022-10-012024-11-0102468Interest Rate (%)0.811.21.41.6EUR/USD Rate
  • Fed Rate
  • ECB Rate
  • EUR/USD
Key Findings

1. Central Bank Synchronization

The Fed and ECB show a strong positive correlation (0.816), indicating coordinated monetary policy responses to global economic conditions.

2. Interest Rate Differential Effect

Higher US rates tend to weaken the euro (-0.221 correlation), as investors seek higher returns in USD-denominated assets.

3. ECB Rate Dynamics

ECB rate increases show a weak positive correlation with EUR/USD (0.214), suggesting other factors influence exchange rates.

Methodology

Data Sources

• ECB: Official main refinancing operations rates
• Fed: Federal Funds Effective Rate (FRED)
• EUR/USD: Daily exchange rates from ECB data

Time Period

20 years of monthly aggregated data (2006-2026), capturing major economic events including the 2008 financial crisis, 2020 pandemic, and recent policy divergence.

Analysis Method

Pearson correlation coefficient calculated across the entire 20-year period to identify long-term relationships.

Data Export

Download the complete dataset for further analysis