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For example, the USD/JPY currency pair has traditionally had a close correlation with U.S. Treasuries.

But does this mean that USD/JPY goes up when: (a) the price of U.S. Treasuries increases

or

(b) the yield on U.S. Treasuries increases

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    The yield of a treasury is heavily impacted by its price. In a general sense, correlation with 1 would lead to correlation with the other [with different levels of noise]. Are you asking in a general sense, or are you asking about the actual direction / level of correlation? This might be a basic question about how to calculate bond yields, and it might be a question better suited for economics, but it's hard to tell the way this is phrased.
    – Grade 'Eh' Bacon
    Aug 3, 2022 at 13:26
  • Thanks. Good point. I was asking in the more general sense. See my comment to the answer below.
    – StatsScared
    Aug 4, 2022 at 3:21

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If you allow for the correlation to be in either direction, then these are equivalent. Both are correlations.

Treasury yields are inversely (negatively) correlated with treasury prices, so if something is positively correlated with yields, then it's also negatively correlated with prices, and vice versa.

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  • Thanks for this. Great point. But when one hears about treasuries being correlated with an asset or currency, can one tell if it's about the treasury yield or price. For example: "Traditionally the USDJPY has a strong correlation with US treasuries since a major object of investment from Japan are bonds. As treasuries fluctuate, so does the currency pair – and by arbitrage – influences the value of the dollar with other currencies as well." Source: sg.news.yahoo.com/usd-strength-run-164811813.html
    – StatsScared
    Aug 4, 2022 at 3:21

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