Efecto macroeconómico en la morosidad de créditos al consumo y su impacto en la rentabilidad bancaria en México

Abstract

Macroeconomic effect on consumer loan delinquency and its impact on bank profitability in Mexico

The objective of this research is to determine the sensitivity of the delinquency rate (IMOR) of consumer credit to some macroeconomic variables and its impact on bank profitability in Mexico. Elliptical copulas were used to achieve this. The results show that during the period 2011 to 2023 there was a positive relationship between unemployment and interest rate with the IMOR consumption, and a negative one between inflation and the exchange rate with the aforementioned index. It is also shown that the increase in consumer delinquency does not have a significant impact on banks' profitability. The originality of the analysis lies in identifying the variables that have the greatest influence on delinquency, proposing a methodology that does not assume linearity and offering empirical evidence to support the generation of economic policy proposals. It is concluded that the unemployment and the interest rate have an important influence on delinquency. Future research will consider analyzing other segments of the credit sector and their relationship with default.