This study explores the effects of the Brazilian recession from 2014 to 2016 on the default of market credit cards and Private Label cards in food retail in a comparative way, through econometric analysis. The research evaluates the credit card default response in the market and, also, Private Label cards, after simulating shocks in macroeconomic variables such as Gross Domestic Product, wages, and unemployment rate, among others, through the application of an autoregressive vector model (VAR model). The data, on a monthly basis, were collected at the Central Bank of Brazil, the Brazilian Institute of Geography and Statistics and at a company in the private label card market. In addition, precedence tests are applied in order to check if there was any causality “in the sense of Granger” on the default of the market credit card and the Private Label card. Among the results found, it was possible to identify that the default rates of the credit card in the market and of the Private Label have different behaviors, from the simulations of the impulse response functions to the identification of the variables that precede them, being that the default of the Private Label card preceded a higher number of variables when compared to the default of credit cards in the market.