  We investigate the decay of spatial correlations of $\mathcal{PT}$-symmetric
non-Hermitian one-dimensional models that host higher-order exceptional points.
Beyond a certain correlation length, they develop anomalous power-law behavior
that indicates strong suppression of correlations in the non-Hermitian setups
as compared to the Hermitian ones. The correlation length is also reflected in
the entanglement entropy where it marks a change from logarithmic growth at
short distance to a constant value at large distance, characteristic of an
insulator, despite the spectrum being gapless. Two different families of models
are investigated, both having a similar spectrum constrained by particle-hole
symmetry. The first model offers an experimentally attractive way to generate
arbitrary higher-order exceptional points and represents a non-Hermitian
extension of the Dirac Hamiltonian for general spin. At the critical point it
displays a decay of the correlations $\sim 1/x^2$ and $1/x^3$ irrespective of
the order of the exceptional point. The second model is constructed using
unidirectional hopping and displays enhanced suppression of correlations $\sim
1/x^a$, $a\ge 2$ with a power law that depends on the order of the exceptional
point.
