The impact of macroeconomic variables on commercial credit delinquency in Mexico

Abstract

A fundamental element for the economic and social development of any country is to have a sound business sector supported by credit resources. The objectives of this research is to analyze which economic variables (inflation, exchange rate, level of economic activity, interest rate, unemployment and consumer confidence) have the greatest influence on business delinquency within the total commercial banking system in Mexico, and to estimate the relationship between delinquency and bank profitability. The above was determined using elliptical and Archimedean copulations, during the period from January 2003 to March 2023. The main results show that an increase in economic activity, interest rates and consumer confidence decreases business delinquency, while a rise in unemployment increases it. Likewise, an increase in corporate defaults leads to a decrease in bank profitability.