Even if likely to be revised, it’s still remarkable. VIX down as high yield credit spread rises.
And here’s a picture of credit risk spread for high yield corporate bonds over the same period (BofA):
2 thoughts on “Economic Policy Uncertainty Hits Record High”
Macroduck
The earlier disconnect between the BIX and corporate spreads was odd, and is now being corrected. Spreads widening is exactly the sort of thing to give a tin-hat autocratic the yips.
Here’s a longer look at high-yield spreads, along with the corporate debt/equity ratio. If it were not for historically low debt, credit spreads would be much worse. One thing to note now is that the debt/equity ratio typically varies with spreads. We don’t (FRED doesn’t) have data on the d/e ratio for the period of the Orange Crisis ™ yet.
The earlier disconnect between the BIX and corporate spreads was odd, and is now being corrected. Spreads widening is exactly the sort of thing to give a tin-hat autocratic the yips.
Here’s a longer look at high-yield spreads, along with the corporate debt/equity ratio. If it were not for historically low debt, credit spreads would be much worse. One thing to note now is that the debt/equity ratio typically varies with spreads. We don’t (FRED doesn’t) have data on the d/e ratio for the period of the Orange Crisis ™ yet.
Oops. Here’s the picture:
https://fred.stlouisfed.org/graph/?g=1I6Jf