Variáveis macroeconômicas e inadimplência de pessoas físicas no Brasil: Uma análise de causalidade

Abstract

Bad debt is harmful to the economy, restricts household consumption and affects people with greater budget restrictions more incisively. The growing increase in defaults by individuals in the Brazilian economic scenario brings the need for studies that identify opportunities to mitigate the negative effect that defaults cause on individuals. This work uses the vector autoregressive methodology (VAR) as well as the Granger causality test to assess the effects of macroeconomic variables on defaults in the period from January 2012 to January 2020. The research shows the shocks that each endogenous variable of the model causes in default, the existence of causality between the variables is also verified. The results point to the GDP and IPCA variables as the main variables that affect default, with GDP having a positive relationship with default, while IPCA a negative relationship with default.