Disparate movements in risk premiums, such as those we witnessed in equity and fixed income markets recently and that are highlighted in the bottom panel of the exhibit, are not unusual and can occur for a number of reasons. For one, we are measuring premiums in various markets that have different risk exposures.
Securities with different pay-off structures naturally may react differently to a given shock. For example, a relatively modest downward revision to expected spending may raise more questions about returns on equity than on corporate debt.