Credit Default and Business Cycles: An Empirical Investigation of
               Brazilian Retail Loans

Correa, Arnildo da Silva; Marins, Jaqueline Terra Moura; Neves, Myrian Beatriz Eiras das; Silva, Antonio Carlos Magalhães da

doi:10.1590/S0034-71402014000300003

Arnildo da Silva Correa

Research Department, Central Bank of Brazil. E-mail: arnildo.correa@bcb.gov.br

Jaqueline Terra Moura Marins

Research Department, Central Bank of Brazil. E-mail: jaqueline.terra@bcb.gov.br

Myrian Beatriz Eiras das Neves

Banking Supervision Department, Central Bank of Brazil. E-mail: myrian.neves@bcb.gov.br

Antonio Carlos Magalhães da Silva

Research Department, Central Bank of Brazil. Brazilian College of Insurance. Fluminense Federal University. E-mail: antonio.magalhaes@bcb.gov.br

Fluminense Federal University, Brazilian College of Insurance

	(1)	(2)	(3)	(4)	(5)
Regional unemployment	0.0107^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.		-0.0003	-0.0003	-0.0004
	(0.0004)		(0.0005)	(0.0005)	(0.0003)
Aggregate unemployment		0.0330^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0337^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0389^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0100^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
		(0.0006)	(0.0008)	(0.0010)	(0.0004)
GDP				-0.0071^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0023^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
				(0.0007)	(0.0004)
Rating A	0.1944^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2151^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2109^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2101^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0140^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0092)	(0.0089)	(0.0092)	(0.0092)	(0.0011)
Rating B	0.5041^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.5257^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.5182^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.5173^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.1653^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0092)	(0.0085)	(0.0090)	(0.0090)	(0.0014)
Rating C	0.6426^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.6477^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.6476^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.6470^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2941^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0060)	(0.0053)	(0.0057)	(0.0057)	(0.0022)
Rating D	0.9285^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.9318^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.9312^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.9308^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.6126^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0018)	(0.0016)	(0.0017)	(0.0017)	(0.0015)
Male	0.0149^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0143^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0151^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0151^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0083^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0012)	(0.0012)	(0.0012)	(0.0012)	(0.0007)
Age from 25 to 35	0.0268^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0287^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0300^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0296^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0133^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0033)	(0.0032)	(0.0033)	(0.0033)	(0.0019)
Age from 35 to 45	-0.0046	-0.0042	-0.0021	-0,0024	-0.0038^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0031)	(0.0030)	(0.0031)	(0.0031)	(0.0019)
Age from 45 to 60	-0.0375^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0378^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0351^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0355^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0213^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0030)	(0.0029)	(0.0030)	(0.0030)	(0.0019)
Age more than 60	-0.0672^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0670^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0639^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0642^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0378^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0031)	(0.0029)	(0.0031)	(0.0031)	(0.0020)
Population	-0.0086^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0066^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0098^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0096^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0051^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0009)	(0.0007)	(0.0009)	(0.0009)	(0.0005)
σc	0.6285^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.6111^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.6067^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.6039^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0,1888
	(0.0055)	(0.0052)	(0.0055)	(0.0055)
ρ	0.2832^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2719^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2690^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2672^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%, =10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0,4356
	(0.0035)	(0.0033)	(0.0035)	(0.0035)
Percent correctly predicted - Total	83.77	88.81	83.78	83.78	83.78
Percent correctly predicted - Default	76,36	73.47	76.36	76.36	76.24
Percent correctly predicted - Non Default	87.84	97.24	87.86	87.86	87.91
Log-likelihood value	-432515.16	-482208.97	-431699.89	-431657.92
No. obs.	1406843	1566423	1406843	1406843	1406843
No. groups	655295	728040	655295	655295	655295

	(1)	(2)	(3)	(4)	(5)
Regional unemployment	0.0024^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.		0.0011^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0011^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0013^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0001)		(0.0001)	(0.0002)	(0.0001)
Aggregate unemployment		0.0059^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0048^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0067^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0062^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
		(0.0001)	(0.0001)	(0.0001)	(0.0002)
GDP				-0.0058^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0061^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
				(0.0002)	(0.0002)
Rating A	0.0013^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0008^ 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0011^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0015^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0054^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0003)	(0.0004)	(0.0003)	(0.0004)	(0.0005)
Rating B	0.0925^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0893^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0872^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0863^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0739^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0013)	(0.0012)	(0.0013)	(0.0013)	(0.0010)
Rating C	0.2245^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2249^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2210^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2198^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.1911^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0021)	(0.0020)	(0.0021)	(0.0021)	(0.0016)
Rating D	0.8106^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.8105^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.8112^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.8124^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.7427^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0016)	(0.0015)	(0.0016)	(0.0016)	(0.0015)
Male	0.0024^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0023^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0024^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0024^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0032^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0002)	(0.0003)	(0.0003)	(0.0003)	(0.0003)
Age from 25 to 35	-0.0013^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0007^ 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0008^ 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0008^ 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0,0005
	(0.0003)	(0.0004)	(0.0004)	(0.0004)	(0.0005)
Age from 35 to 45	-0.0038^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0031^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0032^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0033^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0038^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0003)	(0.0003)	(0.0004)	(0.0004)	(0.0005)
Age from 45 to 60	-0.0069^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0061^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0062^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0063^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0073^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0003)	(0.0004)	(0.0004)	(0.0004)	(0.0005)
Age more than 60	-0.0100^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0089^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0091^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0091^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0116^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0004)	(0.0005)	(0.0005)	(0.0005)	(0.0007)
Population	0.0001	-0.0013^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0005^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0005^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	-0.0006^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.
	(0.0001)	(0.0001)	(0.0002)	(0.0002)	(0.0002)
σc	0.2981^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2917^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2915^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.2842^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0,0745
	(0.0101)	(0.0096)	(0.0102)	(0.0104)
ρ	0.0815^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0784^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0.0783^* 3) Standard errors are in parenthesis. Significance: = 1%, =5%,=10%. 4) Probability of more than 50% is the criterium used to define predicted default.	0,0747	0,1655
	(0.0051)	(0.0047)	(0.0050)	(0.0051)
Percent correctly predicted Total	87,85	95,88	87,85	87,85	87,85
Percent correctly predicted Default	57,96	52,8	57,96	57,96	57,96
Percent correctly predicted Non Default	90,07	99,08	90,07	90,07	90,07
Log-likelihood value	-254211,74	-283792,62	-253573,23	-252951,29
No. obs.	1750841	1928644	1750841	1750841	1750841
No. groups	1265684	1392716	1265684	1265684	1265684

			Consumer Credit
			Final Rating
		AA	A	B	C	Default
Initial Rating	AA	48,29%	42,74%	2,52%	3,20%	3,24%
	A	1,26%	77,18%	11,61%	2,37%	7,58%
	B	0,07%	8,78%	60,12%	4,46%	26,58%
	C	0,13%	3,05%	8,48%	47,65%	40,69%
	Default	0,01%	0,51%	2,85%	0,79%	95,83%
			Vehicle Financing
			Final Rating
		AA	A	B	C	Default
Initial Rating	AA	88,92%	1,81%	3,05%	2,88%	3,33%
	A	9,31%	76,44%	5,95%	4,00%	4,30%
	B	8,68%	18,25%	44,99%	10,74%	17,35%
	C	10,07%	11,51%	6,46%	34,35%	37,61%
	Default	2,75%	3,39%	1,80%	2,59%	89,47%

Consumer Credit						Vehicle Financing
	AA	A	B	C	Default	AA	A	B	C	Default
AA	1,67%	1,03%	2,40%	-0,46%	2,27%	0,75%	0,51%	1,13%	0,47%	-6,82%
A	1,03%	-2,77%	-3,68%	-3,63%	-17,69%	0,51%	0,01%	0,23%	0,96%	-0,83%
B	2,40%	-3,68%	-3,07%	-3,04%	-22,83%	1,13%	0,23%	0,96%	1,12%	-7,42%
C	-0,46%	-3,63%	-3,04%	-6,34%	15,86%	0,47%	0,96%	1,12%	-2,04%	-20,40%
Default	2,27%	-17,69%	-22,83%	15,86%	23,88%	-6,82%	-0,83%	-7,42%	-20,40%	32,86%

	Consumer Credit - Recession						Vehicle Financing - Recession
			Final Rating						Final Rating
		AA	A	B	C	Default		AA	A	B	C	Default
Initial Rating	AA	40,03%	35,15%	3,35%	17,41%	4,07%	AA	77,40%	12,62%	6,85%	1,66%	1,47%
	A	2,02%	61,06%	14,84%	8,58%	13,50%	A	0,02%	84,40%	6,50%	3,40%	5,68%
	B	0,13%	9,52%	49,76%	6,44%	34,16%	B	0,11%	22,46%	45,64%	7,59%	24,19%
	C	0,04%	0,74%	1,85%	56,45%	40,92%	C	0,03%	23,45%	8,41%	14,82%	53,30%
	Default	0,00%	0,26%	0,68%	0,32%	98,74%	Default	0,01%	4,08%	1,73%	1,66%	92,52%
			Consumer Credit - Boom						Vehicle Financing - Boom
			Final Rating						Final Rating
		AA	A	B	C	Default		AA	A	B	C	Default
Initial Rating	AA	48,97%	43,36%	2,45%	2,04%	3,17%	AA	88,92%	1,81%	3,05%	2,88%	3,33%
	A	1,25%	77,38%	11,57%	2,30%	7,50%	A	10,28%	75,61%	5,89%	4,06%	4,16%
	B	0,07%	8,77%	60,24%	4,44%	26,48%	B	9,29%	17,95%	44,94%	10,96%	16,87%
	C	0,14%	3,24%	9,03%	46,93%	40,67%	C	10,50%	11,01%	6,37%	35,17%	36,95%
	Default	0,01%	0,52%	2,91%	0,80%	95,76%	Default	2,92%	3,35%	1,81%	2,65%	89,28%

Consumer Credit Final Rating
		AA, AA	AA, A	AA, B	AA,C	AA, Def	A, AA	A, A	A, B	A,C	A, Def	B, AA	B, A	B,B	B, C	B,Def	C, AA	C, A	C,B	C, C	C, Def	Def, AA	Def, A	Def, B	Def, C	Def, Def
	AA, AA	18,24%	11,36%	0,83%	0,95%	0,97%	11,36%	41,63%	1,53%	1,48%	2,48%	0,83%	1,53%	0,07%	0,08%	0,10%	0,95%	1,48%	0,08%	0,17%	0,11%	0,97%	2,48%	0,10%	0,11%	0,16%
	AA, A	1,36%	43,87%	7,20%	1,46%	4,44%	0,51%	23,34%	6,10%	1,06%	3,69%	0,06%	1,39%	0,35%	0,06%	0,21%	0,06%	1,33%	0,34%	0,07%	0,21%	0,06%	1,96%	0,48%	0,09%	0,29%
	AA, B	0,04%	3,90%	27,97%	1,97%	12,43%	0,03%	4,60%	24,66%	2,06%	14,27%	0,00%	0,23%	1,33%	0,11%	0,72%	0,00%	0,22%	1,25%	0,10%	0,70%	0,00%	0,34%	1,87%	0,15%	1,05%
	AA, C	0,08%	1,47%	4,50%	26,34%	21,56%	0,08%	2,38%	3,92%	14,68%	16,97%	0,00%	0,10%	0,22%	1,01%	1,01%	0,00%	0,09%	0,21%	1,31%	1,24%	0,01%	0,16%	0,31%	1,07%	1,28%
	AA, Def	0,01%	0,28%	1,59%	0,42%	46,95%	0,01%	0,23%	1,52%	0,45%	40,45%	0,00%	0,01%	0,08%	0,02%	2,22%	0,00%	0,01%	0,08%	0,02%	2,30%	0,00%	0,02%	0,12%	0,03%	3,19%
	A, AA	1,36%	0,51%	0,06%	0,06%	0,06%	43,87%	23,34%	1,39%	1,33%	1,96%	7,20%	6,10%	0,35%	0,34%	0,48%	1,46%	1,06%	0,06%	0,07%	0,09%	4,44%	3,69%	0,21%	0,21%	0,29%
	A, A	0,02%	0,16%	0,05%	0,01%	0,03%	0,16%	72,21%	6,11%	1,42%	4,67%	0,05%	6,11%	0,80%	0,16%	0,54%	0,01%	1,42%	0,16%	0,04%	0,12%	0,03%	4,67%	0,54%	0,12%	0,38%
	A, B	0,00%	0,06%	0,39%	0,03%	0,20%	0,02%	5,56%	54,90%	3,56%	17,64%	0,00%	0,77%	5,70%	0,43%	2,35%	0,00%	0,16%	1,24%	0,09%	0,48%	0,00%	0,52%	4,06%	0,29%	1,58%
	A, C	0,00%	0,02%	0,06%	0,41%	0,33%	0,06%	2,69%	8,79%	38,47%	32,20%	0,01%	0,34%	1,01%	3,71%	3,79%	0,00%	0,07%	0,21%	0,85%	0,81%	0,01%	0,23%	0,70%	2,62%	2,61%
	A, Def	0,00%	0,00%	0,02%	0,00%	0,41%	0,00%	0,27%	1,82%	0,55%	79,09%	0,00%	0,04%	0,25%	0,07%	8,91%	0,00%	0,01%	0,05%	0,01%	1,91%	0,00%	0,03%	0,17%	0,05%	6,32%
Initial Rating	B, AA	0,04%	0,03%	0,00%	0,00%	0,00%	3,90%	4,60%	0,23%	0,22%	0,34%	27,97%	24,66%	1,33%	1,25%	1,87%	1,97%	2,06%	0,11%	0,10%	0,15%	12,43%	14,27%	0,72%	0,70%	1,05%
	B, A	0,00%	0,02%	0,00%	0,00%	0,00%	0,06%	5,56%	0,77%	0,16%	0,52%	0,39%	54,90%	5,70%	1,24%	4,06%	0,03%	3,56%	0,43%	0,09%	0,29%	0,20%	17,64%	2,35%	0,48%	1,58%
	B,B	0,00%	0,00%	0,02%	0,00%	0,01%	0,00%	0,68%	4,75%	0,35%	2,09%	0,02%	4,75%	40,48%	2,72%	15,06%	0,00%	0,35%	2,72%	0,20%	1,08%	0,01%	2,09%	15,06%	1,08%	6,47%
	B, C	0,00%	0,00%	0,00%	0,02%	0,02%	0,01%	0,32%	0,89%	3,08%	3,31%	0,07%	2,31%	7,05%	28,86%	26,09%	0,01%	0,17%	0,49%	1,85%	1,83%	0,04%	0,98%	2,75%	9,69%	10,15%
	B,Def	0,00%	0,00%	0,00%	0,00%	0,03%	0,00%	0,04%	0,23%	0,06%	7,67%	0,00%	0,25%	1,63%	0,47%	60,65%	0,00%	0,02%	0,12%	0,03%	4,33%	0,00%	0,11%	0,70%	0,20%	23,46%
	C, AA	0,08%	0,08%	0,00%	0,00%	0,01%	1,47%	2,38%	0,10%	0,09%	0,16%	4,50%	3,92%	0,22%	0,21%	0,31%	26,34%	14,68%	1,01%	1,31%	1,07%	21,56%	16,97%	1,01%	1,24%	1,28%
	C, A	0,00%	0,06%	0,01%	0,00%	0,01%	0,02%	2,69%	0,34%	0,07%	0,23%	0,06%	8,79%	1,01%	0,21%	0,70%	0,41%	38,47%	3,71%	0,85%	2,62%	0,33%	32,20%	3,79%	0,81%	2,61%
	C, B	0,00%	0,01%	0,07%	0,01%	0,04%	0,00%	0,32%	2,31%	0,17%	0,98%	0,00%	0,89%	7,05%	0,49%	2,75%	0,02%	3,08%	28,86%	1,85%	9,69%	0,02%	3,31%	26,09%	1,83%	10,15%
	C, C	0,00%	0,00%	0,01%	0,03%	0,04%	0,00%	0,11%	0,29%	1,11%	1,11%	0,01%	0,29%	0,87%	3,39%	3,24%	0,03%	1,11%	3,39%	28,13%	18,72%	0,04%	1,11%	3,24%	18,72%	15,03%
	C, Def	0,00%	0,00%	0,00%	0,00%	0,12%	0,00%	0,02%	0,10%	0,03%	3,64%	0,00%	0,05%	0,30%	0,09%	10,91%	0,00%	0,19%	1,03%	0,29%	41,07%	0,00%	0,19%	1,10%	0,31%	40,55%
	Def, AA	0,01%	0,01%	0,00%	0,00%	0,00%	0,28%	0,23%	0,01%	0,01%	0,02%	1,59%	1,52%	0,08%	0,08%	0,12%	0,42%	0,45%	0,02%	0,02%	0,03%	46,95%	40,45%	2,22%	2,30%	3,19%
	Def, A	0,00%	0,00%	0,00%	0,00%	0,00%	0,00%	0,27%	0,04%	0,01%	0,03%	0,02%	1,82%	0,25%	0,05%	0,17%	0,00%	0,55%	0,07%	0,01%	0,05%	0,41%	79,09%	8,91%	1,91%	6,32%
	Def, B	0,00%	0,00%	0,00%	0,00%	0,00%	0,00%	0,04%	0,25%	0,02%	0,11%	0,00%	0,23%	1,63%	0,12%	0,70%	0,00%	0,06%	0,47%	0,03%	0,20%	0,03%	7,67%	60,65%	4,33%	23,46%
	Def, C	0,00%	0,00%	0,00%	0,00%	0,00%	0,00%	0,02%	0,05%	0,19%	0,19%	0,00%	0,10%	0,30%	1,03%	1,10%	0,00%	0,03%	0,09%	0,29%	0,31%	0,12%	3,64%	10,91%	41,07%	40,55%
	Def, Def	0,00%	0,00%	0,00%	0,00%	0,01%	0,00%	0,00%	0,01%	0,00%	0,39%	0,00%	0,01%	0,07%	0,02%	2,43%	0,00%	0,00%	0,02%	0,01%	0,70%	0,01%	0,39%	2,43%	0,70%	92,79%

Vehicle Financing
Final Rating
		AA, AA	AA, A	AA, B	AA,C	AA, Def	A, AA	A, A	A, B	A,C	A, Def	B, AA	B, A	B,B	B, C	B,Def	C, AA	C, A	C,B	C, C	C, Def	Def, AA	Def, A	Def, B	Def, C	Def, Def
	AA, AA	81,81%	1,32%	2,31%	2,19%	2,54%	1,32%	0,06%	0,06%	0,06%	0,07%	2,31%	0,06%	0,11%	0,11%	0,12%	2,19%	0,06%	0,11%	0,10%	0,12%	2,54%	0,07%	0,12%	0,12%	0,14%
	AA, A	0,12%	76,24%	5,16%	3,91%	3,88%	0,01%	1,47%	0,12%	0,09%	0,09%	0,00%	2,44%	0,20%	0,15%	0,15%	0,00%	2,30%	0,18%	0,14%	0,14%	0,00%	2,67%	0,21%	0,17%	0,16%
	AA, B	9,75%	8,09%	48,11%	9,77%	14,18%	0,28%	0,20%	0,60%	0,24%	0,36%	0,47%	0,30%	0,99%	0,41%	0,60%	0,45%	0,29%	0,93%	0,39%	0,57%	0,52%	0,33%	1,09%	0,45%	0,66%
	AA, C	9,29%	5,75%	4,35%	42,11%	28,64%	0,27%	0,14%	0,12%	0,40%	0,71%	0,45%	0,21%	0,18%	0,68%	1,18%	0,42%	0,20%	0,17%	0,65%	1,12%	0,49%	0,23%	0,20%	0,75%	1,29%
	AA, Def	2,88%	1,08%	0,86%	1,93%	83,48%	0,08%	0,03%	0,02%	0,05%	1,46%	0,14%	0,04%	0,04%	0,08%	2,37%	0,13%	0,04%	0,03%	0,08%	2,24%	0,15%	0,05%	0,04%	0,09%	2,61%
	A, AA	0,12%	0,01%	0,00%	0,00%	0,00%	76,24%	1,47%	2,44%	2,30%	2,67%	5,16%	0,12%	0,20%	0,18%	0,21%	3,91%	0,09%	0,15%	0,14%	0,17%	3,88%	0,09%	0,15%	0,14%	0,16%
	A, A	8,83%	3,27%	0,71%	0,65%	0,59%	3,27%	58,58%	4,29%	2,76%	3,02%	0,71%	4,29%	0,35%	0,23%	0,25%	0,65%	2,76%	0,23%	0,17%	0,17%	0,59%	3,02%	0,25%	0,17%	0,19%
	A, B	1,95%	0,77%	2,57%	1,14%	1,39%	5,10%	16,48%	35,63%	7,85%	13,01%	0,51%	1,17%	2,51%	0,64%	1,04%	0,41%	0,78%	1,66%	0,46%	0,71%	0,39%	0,79%	1,80%	0,47%	0,76%
	A, C	1,58%	0,54%	0,47%	2,05%	3,33%	6,53%	10,24%	5,14%	27,19%	28,63%	0,60%	0,75%	0,40%	1,76%	2,30%	0,48%	0,50%	0,28%	1,28%	1,65%	0,46%	0,53%	0,29%	1,30%	1,71%
	A, Def	0,37%	0,09%	0,05%	0,14%	4,30%	1,80%	3,35%	1,63%	2,12%	71,97%	0,16%	0,23%	0,12%	0,16%	5,19%	0,13%	0,16%	0,08%	0,11%	3,56%	0,12%	0,15%	0,08%	0,11%	3,80%
Initial Rating	B, AA	9,75%	0,28%	0,47%	0,45%	0,52%	8,09%	0,20%	0,30%	0,29%	0,33%	48,11%	0,60%	0,99%	0,93%	1,09%	9,77%	0,24%	0,41%	0,39%	0,45%	14,18%	0,36%	0,60%	0,57%	0,66%
	B, A	1,95%	5,10%	0,51%	0,41%	0,39%	0,77%	16,48%	1,17%	0,78%	0,79%	2,57%	35,63%	2,51%	1,66%	1,80%	1,14%	7,85%	0,64%	0,46%	0,47%	1,39%	13,01%	1,04%	0,71%	0,76%
	B, B	1,59%	0,93%	3,03%	1,25%	1,78%	0,93%	5,18%	6,90%	1,76%	2,69%	3,03%	6,90%	25,86%	4,30%	6,89%	1,25%	1,76%	4,30%	1,28%	1,95%	1,78%	2,69%	6,89%	1,95%	3,15%
	B, C	1,75%	0,79%	0,68%	2,58%	4,40%	1,06%	2,35%	0,99%	3,82%	5,10%	3,44%	4,49%	2,51%	23,99%	14,74%	1,41%	1,12%	0,72%	3,27%	4,36%	2,03%	1,78%	1,12%	4,77%	6,73%
	B, Def	0,49%	0,14%	0,12%	0,28%	7,94%	0,30%	1,04%	0,39%	0,49%	12,54%	0,98%	1,19%	0,68%	0,99%	45,50%	0,40%	0,32%	0,18%	0,30%	9,32%	0,57%	0,47%	0,28%	0,45%	14,66%
	C, AA	9,29%	0,27%	0,45%	0,42%	0,49%	5,75%	0,14%	0,21%	0,20%	0,23%	4,35%	0,12%	0,18%	0,17%	0,20%	42,11%	0,40%	0,68%	0,65%	0,75%	28,64%	0,71%	1,18%	1,12%	1,29%
	C, A	1,58%	6,53%	0,60%	0,48%	0,46%	0,54%	10,24%	0,75%	0,50%	0,53%	0,47%	5,14%	0,40%	0,28%	0,29%	2,05%	27,19%	1,76%	1,28%	1,30%	3,33%	28,63%	2,30%	1,65%	1,71%
	C, B	1,75%	1,06%	3,44%	1,41%	2,03%	0,79%	2,35%	4,49%	1,12%	1,78%	0,68%	0,99%	2,51%	0,72%	1,12%	2,58%	3,82%	23,99%	3,27%	4,77%	4,40%	5,10%	14,74%	4,36%	6,73%
	C, C	1,77%	0,81%	0,70%	2,65%	4,50%	0,81%	1,13%	0,58%	2,64%	3,21%	0,70%	0,58%	0,38%	1,63%	2,21%	2,65%	2,64%	1,63%	24,20%	10,50%	4,50%	3,21%	2,21%	10,50%	13,67%
	C, Def	0,52%	0,16%	0,13%	0,30%	8,62%	0,24%	0,42%	0,19%	0,26%	8,12%	0,21%	0,16%	0,10%	0,16%	5,03%	0,79%	0,57%	0,36%	0,67%	38,75%	1,33%	0,81%	0,52%	0,95%	30,62%
	Def, AA	2,88%	0,08%	0,14%	0,13%	0,15%	1,08%	0,03%	0,04%	0,04%	0,05%	0,86%	0,02%	0,04%	0,03%	0,04%	1,93%	0,05%	0,08%	0,08%	0,09%	83,48%	1,46%	2,37%	2,24%	2,61%
	Def, A	0,37%	1,80%	0,16%	0,13%	0,12%	0,09%	3,35%	0,23%	0,16%	0,15%	0,05%	1,63%	0,12%	0,08%	0,08%	0,14%	2,12%	0,16%	0,11%	0,11%	4,30%	71,97%	5,19%	3,56%	3,80%
	Def, B	0,49%	0,30%	0,98%	0,40%	0,57%	0,14%	1,04%	1,19%	0,32%	0,47%	0,12%	0,39%	0,68%	0,18%	0,28%	0,28%	0,49%	0,99%	0,30%	0,45%	7,94%	12,54%	45,50%	9,32%	14,66%
	Def, C	0,52%	0,24%	0,21%	0,79%	1,33%	0,16%	0,42%	0,16%	0,57%	0,81%	0,13%	0,19%	0,10%	0,36%	0,52%	0,30%	0,26%	0,16%	0,67%	0,95%	8,62%	8,12%	5,03%	38,75%	30,62%
	Def, Def	0,15%	0,04%	0,04%	0,09%	2,51%	0,04%	0,20%	0,07%	0,09%	2,01%	0,04%	0,07%	0,03%	0,04%	1,25%	0,09%	0,09%	0,04%	0,07%	2,06%	2,51%	2,01%	1,25%	2,06%	83,14%

[1] Notes:

[2] 1) Models (1), (2), (3) and (4) are probits with unobserved individual component, and specification (5) is a linear probability model estimated by random effect estimation.

[3] 2) All models also include variables controling for the borrower's occupation, interest rate and unobserved fixed effect of financial institution.

[TFN01] 3) Standard errors are in parenthesis. Significance: ***= 1%, **=5%, *=10%. 4) Probability of more than 50% is the criterium used to define predicted default.

Consumer Credit
Percentiles	95,0%	99,0%	99,9%
Booming	18,85%	18,89%	18,91%
Recession	21,55%	21,61%	21,62%
Vehicle Financing
Percentiles	95,0%	99,0%	99,9%
Booming	12,27%	12,31%	12,32%
Recession	12,82%	12,88%	12,90%

Brasil

Brasil

Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans