Uma análise dos impactos macroeconômicos sobre a inadimplência do crédito pessoal

Abstract

The present study aims to analyze the macroeconomic impacts on personal credit delinquency in Brazil by employing the VECM (Vector Error Correction Model) and applying the Impulse Response Function (IRF) methodology, together with the analysis of the Forecast Error Variance Decomposition (FEVD) of the explanatory variables. The variables were obtained from the Central Bank of Brazil’s Time Series System for the period from March 2012 to September 2025, with monthly frequency, namely: credit portfolio delinquency; the Central Bank Economic Activity Index (IBC-Br); the unemployment rate (PNADC); the average interest rate on free-market credit operations; the Broad National Consumer Price Index (IPCA); the degree of household income commitment to debt servicing within the National Financial System; and Gross Disposable National Income of households. Initially, unit root tests were applied to assess the stationarity of the series, indicating that only inflation was stationary in levels, classified as I(0), while the remaining variables were integrated of order one, I(1). The VECM was then estimated using the first differences of the series, incorporating the error correction terms derived from the cointegration relationships, while treating inflation as an exogenous variable. The choice of four lags was based on the Hannan–Quinn criterion, and the Johansen cointegration test indicated the presence of three cointegrating vectors. The results obtained from the IRF and FEVD analyses reveal a high degree of persistence in delinquency, characterizing strong inertia in the process. In the short run, unemployment stands out as the main determinant of rising delinquency, while the expansion of economic activity exerts a positive impact in the medium run, suggesting a deterioration in credit quality during periods of economic growth. Household income commitment shows a gradual and persistent effect, and real income displays a non-linear behavior, with an initial reduction in delinquency followed by a positive reversal over longer horizons. Inflation, treated as an exogenous variable, showed a relevant impact mainly in the short run, with unstable effects in the medium term. Therefore, it is concluded that household delinquency is predominantly influenced by macroeconomic factors, particularly labor market conditions, inflation dynamics, and the degree of household income commitment.