Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics

•Sectoral credit risk correlations are explained by common macro-financial proxies.•The correlations’ counter-cyclical pattern passes through to hedging costs.•Elevated credit interdependence is driven by higher uncertainty and tighter credit.•Lower correlations are related to stronger economic activity and news sentiment.•The crucial role of the uncertainty channel and crises on correlation dynamics.