Inadimplência de Crédito e Ciclo Econômico: um exame da relação no mercado brasileiro de crédito corporativo

Jaqueline Marins and Myrian Neves ()

No 304, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The aim of this paper is to examine empirically whether the default of borrower companies in the Brazilian market rises in downturns. To this end, a probit model for the probability of default is developed based on credit microdata taken from the Credit Information System of the Central Bank of Brazil (SCR) and on macroeconomic variables. Our results provide evidence of a strong negative relationship between business cycle and credit default, going in accord to the literature dealing with corporate data. These effects are stronger than those found in our previous article for the case of default of individuals. This is an expected result, since the retail credit is more sprayed than the corporate credit. The macroeconomic variables that have the greatest effect on corporate defaults were GDP growth and inflation.

Date: 2013-03
New Economics Papers: this item is included in nep-lam and nep-mac
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Citations: View citations in EconPapers (2)

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