IDEAS home Printed from https://ideas.repec.org/a/pkp/ijobem/v7y2020i5p310-330id1254.html
   My bibliography  Save this article

The Effects of Macroeconomic Variables on Bank Default: A Case Study in Brazil

Author

Listed:
  • Mateus Feld
  • Wagner Eduardo Schuster

Abstract

With the end of the recession from 2014 to 2016, Brazil began a gradual recovery process, with a positive impact on some economic variables — among them, credit financing. Despite this, a robust recovery was not seen in 2019, and 2020 was marked by the arrival of the Covid-19 pandemic, which raises questions about the stability of the financial system and the control of defaults. Considering this, the present study explores how macroeconomic variables affected the default of a financial institution’s credit portfolio between January 2014 and April 2019. To perform this analysis, we built a Vector Error Correction (VEC) model that captured the long-term relationships between the default of different credit products and the selected macroeconomic variables. The results indicate that the macroeconomic variables do in fact impact default, however, this behavior is not homogeneous. In general, different credit products respond in different ways to each of the macroeconomic entities: while part of our findings is in line with others in the literature, we also found surprising results for some of the studied relationships.

Suggested Citation

  • Mateus Feld & Wagner Eduardo Schuster, 2020. "The Effects of Macroeconomic Variables on Bank Default: A Case Study in Brazil," International Journal of Business, Economics and Management, Conscientia Beam, vol. 7(5), pages 310-330.
    • Handle: RePEc:pkp:ijobem:v:7:y:2020:i:5:p:310-330:id:1254
    as

    Download full text from publisher

    File URL: https://archive.conscientiabeam.com/index.php/62/article/view/1254/1777
    Download Restriction: no
    File URL: https://archive.conscientiabeam.com/index.php/62/article/view/1254/5054
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pkp:ijobem:v:7:y:2020:i:5:p:310-330:id:1254. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dim Michael (email available below). General contact details of provider: https://archive.conscientiabeam.com/index.php/62/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.