The advent of models for computing probabilities of default (PD) has provided a supplementary measure of default likelihood in addition to credit ratings. Credit ratings are a coarser measure of default likelihood, and embed the same information as PDs plus a modicum of human judgment. Rating...

Does the yield curve have the ability to predict output and recessions? At some times and in certain places, of course! But many details are matters of dispute: When and where does the yield curve predict successfully, which aspects of the curve matter most, and which economic forces account for...