Economic policy coordination through the study of the Macroeconomic-Dynamics relationship of the Ecuadorian consumer delinquency portfolio in the period 2009-2019

Abstract

This study seeks to examine the behavior and effects of the components that determine the dynamics of non-performing loans in Ecuador during the 2009-2019 period, comprised of monthly values. One of the most appropriate alternatives for its modeling in the formation of the macroeconomic model is employed: the econometric technique of autoregressive vectors (VAR) and the integrated autoregressive process of moving averages (ARIMA). Its definition is studied, and the way to obtain its estimate is deduced. It is found that paradoxically contrary to what is stated in the literature, total liquidity (M_2) does not support significant attributions in the quality of the portfolio of non-performing loans, while a standard deviation shock to the real exchange rate in the first period does not have a representative shock, however, a posteriori, it improves the portfolio quality considerably. It is empirically verified that the delinquency of consumption has memory and the great challenge for the coordination of economic policy is emphasized to keep the economic activity (GDP) in constant growth, since this measure significantly affects the level of delinquency of consumption.