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I have one dataset with currency exchange ratios for several years. The exchange ratios are for two Asiatic currencies and the Canadian dollar, all against American dollars. My (perhaps naïve) thinking is that I can observe which economies are more strongly tied by looking to the association strength between the ratios. So, I have got an Excel add-in that can calculate distance correlation and maximal information coefficient, plus with some tweaking it can even give p-values of Pearson. However, when I calculate the three measures for all pairs of variables and their p-values against the null hypothesis that the variables are independent, they give utterly discordant results.

Which measure should I believe better? Is there anything wrong with my analysis?

Screenshot with the problem

It is possible to check both the Excel worksheet and a PDF version of it.

Thanks in advance for any help.

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Actually the results look pretty consistent. But based on the plots I do not believe the result for CAD vs CNY. The Pearson correlation looks like it should be practically 0 not 0.57. Also since these are time series these analyses are ignoring any time dependence if there were any. There is no apparent time dependence based on the plots.

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Hi! Thanks for your answer! I will carefully look to that 0.57 value, it is true that it should not be there. How can I take into account the time for this analysis? – dsign Jun 7 '12 at 10:59
You could fit time series models and compute estimates of autocorrelation and cross-correlation. Given the plots though there does seem to be any time dependence. So such analysis may not help. – Michael Chernick Jun 7 '12 at 11:06

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