Macro information comprises of the aggregate, dynamic, economic conditions that can affect the Credit Risk of debtors. The salient feature of macro information that requires to include it as a properly modelled forward-looking element is the empirical fact that
- macro factors do have an influence on credit risk and
- economic states do not evolve as pure random walks but exhibit memory phenomena (auto-regression).
If we ignore current macro conditions in the formation of expectations we may be making a biased estimate. The degree of the bias depends on the degree to which future macro state realizations are uncorrelated with their current value. Hence even if a variable is strongly correlated with the default rate, unless it exhibits autocorrelation, its inclusion to the information set $M_k$ is redundant.
Macroeconomic Factor Processes
A fairly general expression for the process followed by an observable macro factor vector is the standard 
Issues and Challenges
The modelling of macroeconomic variables is notoriously difficult
- Hamilton, 1994