And surely different co-movements can reflect different risks--or risk shifts--and different preferences--or preference shifts--which can change the equilibrium relation across markets. But an understanding of what caused the divergent movements could be important for policymakers. For example, changes in perceived risk in some specific markets might point to certain economic weaknesses that policy may need to address.
On the other hand, a shift in asset preferences that raised premiums in some markets but lowered them in others could potentially leave overall financial conditions, and their implications for spending, not much changed. Thus, it is important for  policymakers to look at risk premiums in their entirety, rather than in isolation, before reaching policy conclusions.