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 .