Correlation during recession
It seems strange. Does correlation decline between bond and other risky asset (equity) during recession according to this below s-note paragraph?
A particular problem is flight to
quality. During periods of market stress, all lower-quality and riskier assets may tend to
decline together (correlation approaching +1) as investors sell these assets and buy
high-quality developed-market government bonds for safety. Thus, correlation of these
government bonds to riskier assets declines during periods of stress and may be
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