risk. A Bayesian approach to default rate estimation is proposed and illustrated using a prior distributions assessed from … temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of …. A robustness exercise, weakening the prior on the asset correlation, illustrates that the correlation indicated by the …

correlation between the business and credit cycles. And we decompose the business cycle into a trend and a cycle using Hodrick …

realized defaults. Furthermore, it predicts future equity and corporate bond returns, even after controlling for many existing …