The interdependence between US credit markets is examined through wavelet squared coherence.
The little “shift-contagion” is analyzed using elliptical and Archimedean copulas on the short-run decomposed series through Variational Mode Decomposition (VMD).
The Basic Material (Utilities) industry credit market has the highest (lowest) interdependence with other industries.
Basic Materials credit market passes cyclical effects to the other industries.
Contagion effect between US industry-level credit markets occurred during the global financial crisis of 2007–08.