Report
Credit (corporate bond) market: The double decorrelation
In the recent period, there has been a double decorrelation in the credit market in the United States and the euro zone : The decorrelation between the decline in GDP and the rise in default rates, which is explained by governments' protective policies towards companies; The decorrelation between default rates and credit spreads, which is explained by monetary policies ( very low risk-free interest rates, abundant liquidity). This shows the sharp reduction in the cyclical nature of risk premia .
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Natixis
Based across the world’s leading financial centers, Natixis CIB Research offers an integrated view of the markets. The team provides support to inform Natixis clients’ investment and hedging decisions across all asset classes.
Patrick Artus
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