Análise da evolução da inadimplência bancária em cenários de estresse através do uso de vetores autorregressivos

Abstract

This research sought to identify through autoregressive vectors (VAR) the relationship between macroeconomic variables and the change in the balance of operations over 60 days, building two scenarios of economic downturn by impulse response technique. The research identified that the variation of the Gross Domestic Product (GDP) and the Accumulated Selic Interest Rate in delayed periods have high correlation with the change in the balance of defaulting operations. The results show that i) there is an inverse relationship between the growth of the balance of defaulting operations and GDP growth at the time of default, ii) there is a direct relationship between the growth of the balance of defaulting operations for more than 121 days and growth the Selic rate one month after the time of default, iii) negative shocks on GDP affect the growth of the balance of the defaulting operations and growth of the Allowance for more than 12 consecutive months.