Notes: The chart reports the correlation between (the level of) bank bond yields and sovereign yields in the left panel, and between corporate bond yields and sovereign yields in the right panel.
Each dot corresponds to a daily recording of the average yield for bonds issued by banks with a given maturity (left panel) and senior unsecured bonds (investment grade) with a given maturity issued by non-financial corporates (right panel) in a given country and the sovereign yields with the same maturity for the same day in the same country.