We presented CAIXA, a Catalogue of AGN in the XMM-Newton Archive, in a companion paper. Here, a systematic search for correlations between the X-ray spectral properties and the multiwavelength data was performed for the sources in CAIXA. All the significant (>99.9% confidence level) correlations are discussed along with their physical implications on current models of AGN. Two main correlations are discussed in this paper: a) a very strong anti-correlation between the FWHM of the H$\beta$ optical line and the ratio between the soft and the hard X-ray luminosity. Although similar anti-correlations between optical line width and X-ray spectral steepness have already been discussed in the literature (see e.g., Laor et al. 1994, Boller et al. 1996, Brandt et al. 1997), we consider the formulation we present in this paper is more fundamental, as it links model-independent quantities. Coupled with a strong anti-correlation between the V to hard X-ray flux ratio and the H$\beta$ FHWM, it supports scenarios for the origin of the soft excess in AGN, which require strong suppression of the hard X-ray emission; b) a strong (and expected) correlation between the X-ray luminosity and the black hole mass. Its slope, flatter than 1, is consistent with Eddington ratio-dependent bolometric corrections, such as that recently proposed by Vasudevan & Fabian (2009). Moreover, we critically review through various statistical tests the role that distance biases play in the strong radio to X-ray luminosity correlation found in CAIXA and elsewhere; we conclude that only complete, unbiased samples (such as that recently published by Behar & Laor, 2008) should be used to draw observational constraints on the origin of radio emission in radio-quiet AGN.
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