NEW YORK (CNN/Money) - The bond market conundrum isn't just getting deeper -- it's spitting in Alan Greenspan's eye!

The Fed chief has been scratching his economic head over why yields have remained low while the he and his colleagues raise short-term rates -- offering up every possible reason from Chinese purchases of U.S. government bonds to low inflation expectations. And a lot of Wall Street economists keep saying it doesn't make sense to see bond yields so low because the economy is doing great and inflation pressures are building.

And yet, the yields just keep falling: the benchmark 10-year government note fell back below 4 percent to 3.89 percent yesterday! So what gives?

For one there's a sizable and stubborn minority that has been arguing for awhile now the economy is not doing all that great, at least not in all sectors, despite GDP growth north of 3 or even 4 percent.

More and more reports are suggesting now that manufacturing is slowing down. So we shall see. But what I am picking up from bondland is that this is much more than a macro economy story -- it's also a "what's-happening-to-credit-quality?" story.

GM, the world's biggest auto producer marked down to junk bond status, and that's not a worry? Big companies defaulting on pensions and some state governments sitting on public pensions that may be underfunded and that's not a worry? European monetary union in looks like it may be in danger of unraveling and that's not a worry? The Fed chief himself warning that the two giant mortgage agencies, Fannie Mae and Freddie Mac are holding investment portfolios that are vulnerable if there is a housing bubble that bursts? Puh-lease.

Bond folks are paid to worry it's true.

They are paid to sniff out the credit problems, the economic rot, before anyone else does. That's why they buy U.S. government bonds when things look dicey.

So as bond yields fall we can applaud the fact that it will make it cheaper for companies to borrow and cheaper to take out a 30-year fixed mortgage rate.

But you have to remember that when yields fall it's also sending a message and right now that message is be on the look out.

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-- Kathleen Hays is economics correspondent for CNN and contributes to Lou Dobbs Tonight. You can read more of her columns here.