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?
Thanks in advance for any help.