@article {Okashima18, author = {Kathryn Okashima and Martin S. Fridson}, title = {Downgrade/Upgrade Ratio Leads Default Rate}, volume = {10}, number = {2}, pages = {18--24}, year = {2000}, doi = {10.3905/jfi.2000.319267}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Fluctuations in the default rate on high-yield corporate bonds are among the factors that explain variance in the sector{\textquoteright}s returns. Accordingly, several econometric models have been developed to forecast the default rate. One plausible explanatory variable not normally included is the trend in credit rating changes within the speculative-grade category. The ratio of Moody{\textquoteright}s Investors Service{\textquoteright}s downgrades to upgrades explains approximately one-half to two-thirds of the change in the default rate two to three quarters later.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/10/2/18}, eprint = {https://jfi.pm-research.com/content/10/2/18.full.pdf}, journal = {The Journal of Fixed Income} }