歐洲央行-2023年歐元區(qū)銀行體系宏觀審慎壓力測試（英）

EUROPEANCENTRALBANK

EUROSYSTEM

GiuseppeCappelletti,IvanDimitrov,CatherineLeGrand,LaurynasNaru?evi?ius,AndréNunes,JurePodlogar,NicolaR?hm,LucasTerSteege

OccasionalPaperSeries

2023macroprudentialstresstestof

theeuroareabankingsystem

Bankresilienceinachangingenvironment:

challengesandopportunities

No347

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

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Contents

Abstract2

1Non-technicalsummary3

2Introduction4

3Macroeconomicscenarios6

4Methodologicaldevelopmentsinmacroprudentialstresstest

modelling9

4.1Updatestothemodelsincethe2021macroprudentialstresstest9

5Mainfindingsonbankingsystemresilience13

6Discussionofselectedresults19

6.1Banklending19

6.2Assetqualityandcreditlosses21

6.3Fundingcostsandnetinterestincome25

7Conclusions30

References31

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Abstract

Thispaperpresentstheupdatedmacroprudentialstresstestfortheeuroarea

bankingsystem,comprisingaround100ofthelargesteuroareacreditinstitutions

across19countries.Theapproachinvolvesmodellingbanks’reactionstochangingeconomicconditions.ItalsoexaminestheeffectsofadversescenariosasdefinedfortheEuropeanBankingAuthority’s2023stresstestoneconomiesandthefinancial

systemasawholebyacknowledgingabroadsetofinteractionsand

interdependenciesbetweenbanks,othermarketparticipantsandtherealeconomy.

Ourresultshighlighttheresilienceoftheeuroareabankingsystemandthe

importantrolebanks’adjustmentsplayinthepropagationofshockstothefinancialsectorandrealeconomy.

JELcodes:C30,C53,C54,E52

Keywords:economicmodels,monetarypolicy,forecasting,macroeconometrics

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1Non-technicalsummary

The2023macroprudentialstresstestprovidesadditionalinsightsintothe

resilienceoftheEuropeanbankingsectorrelativetothelatestEU-widestresstestsconductedbytheEuropeanCentralBank(ECB)/Europeanbanking

supervisionandcoordinatedbytheEuropeanBankingAuthority(EBA).

1

Themacroprudentialstresstestcomplementsthemicroprudentialexerciseby(i)

includingtheendogenousreactionofbankstothemacroeconomicscenarios(whichresemblethoseusedintheEBAstresstest),(ii)consideringrelevantamplificationmechanismsbetweenbanksolvencyandfundingcosts,and(iii)consideringthe

feedbackbetweenthebankingsectorandtherealeconomy.InlinewiththelatestEBAstresstest,italsoincorporatestheeffectsstemmingfromthephasing-outofnon-conventionalmonetarypolicy.Comparedwiththemicroprudentialexercise,theresultsarecharacterisedbysignificantdeleveraging,drivenbyanincreaseincreditrisk,aswellasasubstantialshiftintheliabilitystructureandariseinthecostof

funding.

Theassessmentbuildsonamacro-micromodelthatincludesindividualeuro

areaeconomiesandsignificantbanks(Budniketal.,2023)andthetwo

scenariosfromthe2023EU-widestress-testingexercise.Themodeltrackstheevolutionofalleuroareaeconomiesandthatof98significantbankscoveringmorethan80%oftheeuroareabankingsector.Themodellingofbanks’behaviourreliesonempiricalrelationshipsthatrepresentbanks’reactionsintermsoflending

volumes,pricing,liabilitystructureandprofitdistribution.

2

Thebaselinescenarioenvisionsaneconomicrecovery,whiletheadverseoneaprotractedrecession,

exacerbatedbyanaggravationofgeopoliticaltensionsleadingtostagflationandrisinginterestrates.Recentmacroeconomicdevelopmentsprovedtobemoreorlessinlinewiththebaselinescenario.Itisimportanttonotethattheresultsreflectbanks’balancesheetsasoftheendof2022.

Akeyfindingoftheexerciseisthattheeuroareabankingsectorremains

resilientundertheadversescenario,withbanks’deleveragingandde-riskingpartiallyoffsettingheightenedcreditriskandreducednetinterestincome(NII).

Thesystem-levelCommonEquityTier1(CET1)ratioisunchangedthroughoutthebaselinescenario.However,thesystem-levelCET1ratiofallsundertheadverse

scenariobyapproximately2.5percentagepointsbytheendof2025.Thereductionofloansandtheshifttowardssovereignsectorexposuresleadtoareductioninriskweightsandtoapartialcounterbalancingoflossesrelatedtocreditrisk.

1Intherestofthisdocument,werefertotheEU-widestresstestsconductedbytheECB/EuropeanbankingsupervisionandcoordinatedbytheEBAas“EBAstresstest”or“EU-widestress-testing

exercise”.

2Dividendpayoutswereupdatedtoreflecttheregulatoryandfiscallandscapeasoftheendof2022.

Whilethiscomprisesthephasing-outofthepandemic-relatedbanondividenddistributions,the

nationallegislativeinitiativesonbankprofittaxesintroducedin2023arenotincluded.Asdetailedin

Budniketal.(2023;Section2.1.2),amanagementbufferlevelisestimatedforeachbank,andthe

dividendpayoutisdeterminedbasedontherealisedexcesscapital.Thisstrategyallowsusto

approximatebanks’decision-makingprocessesregardingdividenddistributions,takingintoaccountthegradualrelaxationofdividendrestrictionsthatwereputinplaceduringthepandemic.

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2Introduction

The2023macroprudentialstresstestassesseshowadjustmentstobanks’balancesheetsinresponsetoshocksfeedbackintotherealeconomy.TheexerciseisbasedontheinformationcollectedduringthelatestEBAstresstestin2023butdepartsfromitbyrelaxingsomeofitskeyassumptions.The

macroprudentialstresstestdropsthestaticbalancesheetassumptionandallows

bankstoreacttothechangingmacroeconomicenvironmentandtoadjusttheir

assetsandliabilitiesandtheirprofitdistributionpolicies.Themodelalsoallowsforthecuringandwriting-offofnon-performingloans(NPLs).Furthermore,the

simulationsaccountforthephasing-outofnon-conventionalmonetarypolicy.

Theexerciseemploysalarge-scalemodelofindividualbanksandcountries

andappliestherevisedBankingEuroAreaStressTest(BEAST)framework.

TheBEASTmodel(Budniketal.,2023)isalarge-scalemodelofindividualeuro

areabanksandeconomiesthatcapturesbankadjustmentsandmacro-financial

amplificationmechanisms.Havingpioneeredtheexaminationofthedynamic

relationshipbetweenthebankingsectorandeconomiesthroughamicrosimulationapproach,themodelhasundergonesignificantexpansionsince2018(Budniketal.,2019)toincludeanextensiverepresentationofvariousprudentialandregulatory

policies.Sincethepreviousmacroprudentialstresstest,themodelhasbeen

updatedalongseveraldimensions:themacro-blockwasupdated,creditdynamicsbetterreflectpotentialexogeneoussupplyshocks,andfundingcostsandstructurebetteraccountformorerecentevidenceonthepass-throughofmonetarypolicyshocks(Section4).

Theassessmentofbankresilienceisbasedonthetwoscenariosemployedinthe2023EU-widestress-testingexercise.ThebaselinescenarioisbasedontheDecember2022broadmacroeconomicprojections,whichenvisionaneconomic

recovery.TheadversescenarioisdesignedtoreflectthemainfinancialstabilityrisksidentifiedbytheGeneralBoardoftheEuropeanSystemicRiskBoard(ESRB),

namelyaperiodofprolongedsubduedeconomicgrowthcoupledwithhighinflation,withthelatterbeingpartlydrivenbyrisingenergyprices,potentiallyresultinginrisinginsolvenciesamongnon-financialcorporations(NFCs)andhouseholds.

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Additionally,potentiallyincreasedgeopoliticaltensionsandadepressedeconomicgrowthoutlookleadtosignificantassetpricecorrections,followingabroad-basedtighteningoffinancialconditions(Section3).

Thestresstestresultsshowthattheeuroareabankingsectorremains

resilientundertheadversescenario.Thedepletionofthesystem-levelCET1ratioamountstoaround2.5percentagepointsattheendof2025undertheadverse

scenario.Attheendoftheprojectionhorizon,theweighted-averagesystem-level

CET1ratioremainsalmostunchangedunderthebaselinescenarioanddropsto

13%undertheadversescenario.Theimpactofthestresstestrevealssignificant

variabilityacrossbanks,reflectingtheirdiversebusinessmodelsandheterogeneous

3SeeESRB(2023).

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geographicalandsectoralexposures.Allbanksretainsufficientcapitalunderthe

baselinescenariotocovertheircapitalrequirements.Undertheadversescenario,

banksaccountingfor27.6%ofbankingsectorrisk-weightedassets(RWAs)breachthecombinedbufferrequirement.Thenumberofbanksbreachingthemaximum

distributableamount(MDA)triggersin2025is12,andonlyfourofthem,accountingfor5.1%ofbankingsystemRiskWeightedAssets(RWA),experienceasufficientlylargecapitaldepletionthatpushesthembelowtheminimumcapitalrequirement.

Comparedwiththemicroprudentialexercise,thenumberofbanksbreachingtheMDAtriggerissignificantlylowerasbanksadjusttheirlendingbehaviourinviewoftheeconomicdownturn.

Undertheadversescenario,thekeydriversofdepletionincludeheightened

creditrisk,representedbyanuptickinimpairments,andasurgeinfunding

costs.Thenon-performingloans(NPL)ratiofornon-financialprivatesectorloansincreasesfrom2.4%in2022to6.2%by2025undertheadversescenario.Theriseincreditlossesfromadditionalprovisioningneedssignalsincreasedfinancialstresswithinthenon-financialprivatesector,reflectingtheeconomicchallengessimulatedundertheadversescenario.Furthermore,averagefundingcostsriseby

approximately150basispointsasreferenceratesincreaseandbanksrelyonmorecostlysourcesoffunding.

Thesenegativedynamicsarepartiallyoffsetbybanks’reactionstonavigatetheeconomicdownturn.Themacroprudentialstresstestcaptureshowbanks’

strategicadjustmentstotheirbalancesheetsunderstressfeedbackintotherealeconomy.Thisapproachallowsforamorecomprehensiveunderstandingofthebankingsector’sresilience.Particularlyundertheadversescenario,thegrowthofcredittothenon-financialprivatesectordecreasesmarkedly,underscoringhowbanks’mitigatingstrategies,suchasreducingexposuretoriskierassetsand

curtailinglending,playapivotalroleinnavigatingeconomicdownturns.

Bydeleveragingandde-risking,banksreinforcetheirownsolvencypositionsbutnegativelyaffecteconomicgrowth.Undertheadversescenario,thereductionofloans(Chart9)andthereshuffleofexposurestowardthesovereignsector(Chart11)leadtoareductioninriskweights,partiallyoffsettinglossesrelatedtocreditrisk.Thisbehaviourontheonehandsafeguardsbanks’solvencybutontheother

negativelycontributestoeconomicgrowthandexacerbatesthesovereign-bank

nexus.Furthermore,undertheadversescenario,bankprofitabilityfacessignificantheadwinds,turningnegativeonaggregate.Euroareabanksremainslightlyprofitablein2023,primarilydrivenbyhighernetinterestincome(NII)resultingfroma

continuedwideningofmargins.However,by2024and2025,theriseinbanks’fundingcostsandthedecelerationoftheeconomybegintoposeheadwindstoprofitability.

Thispaperisstructuredasfollows.Thenextsectionsummarisesourmodelling

approach.Section3brieflypresentsthebaselineandadversescenariosthatare

takenfromthelatestEBAstresstest.Section4describesthemaindevelopmentsofthemodelsincethelastmacroprudentialstresstestreport.Section5illustratesthemainstresstestresults.Section6elaboratesonselectedaspectsofthescenariosfromamacroprudentialperspective.

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3Macroeconomicscenarios

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AsintheEBAstresstest,thebaselinescenario

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assumesamarkedslowdownineconomicactivityfollowedbyareboundin2024and2025(Chart1).The

energycrisisthatunfoldedin2022,thedeclineinglobaleconomicactivity,tightenedfinancialconditionsandhighinflationratesplaceadragoneuroareaeconomic

growthduetoincreasedproductioncostsandrecedingrealincomesin2023.Over

thefollowingtwoyearsastabilisedenergymarket,theresolutionofsupply

bottlenecksandincreasedforeigndemandresultinareboundinrealGDPgrowthto1.9%and1.8%in2024and2025,respectively.Inflationratesremainelevated,andbothshort-termandlong-terminterestratesincrease.Risingmarketexpectations

derivedfromfuturesratesimplyanotableincreaseinaverageshort-termmarketrates,withtheone-yeareuroswapraterisingto3.7%in2023andsubsequentlyfallingto3.2%in2025.Incontrasttotheupward-slopingyieldcurvein2022,thebaselinescenarioassumesapartiallyinvertedyieldcurveforeachyearofthescenario,consistentwithalong-runanchoringofexpectedinflation(Chart2).

Chart1

Mainmacroeconomicdevelopmentsforthebaselineandadverseeuroareascenarios

(percentages,projected)

Source:ESRB(2023).

Notes:Distributionofmacroeconomicvariablesunderthebaselineandadverseannualscenariosacrosseuroareacountries.Whiskersdenotetheminimumandmaximumacrosseuroareacountries.Blackdotsdenoteeuroareaaverages.

4Thebaselinemacro-financialscenarioisbasedonDecember2022projectionsfromtheEUnationalcentralbanks,andtheadversemacro-financialscenariowasdesignedbytheESRB’sTaskForceonStressTestinginclosecollaborationwiththeECB.ThescenariowasapprovedbytheESRB’sGeneralBoardandsenttotheEBAon23January2023.Moredetaileddescriptionsofthescenariosforthe

2023exercisecanbefoundonthe

EBA’

sand

ESRB’

swebsites.

5

Eurosystemstaffmacroeconomicprojectionsfortheeuroarea,

December2022.

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Theadversescenario

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insteadreflectsanintensificationofsupply

constraints,leadingtoastrongerrecessionandmoreintenseinflationary

pressure.Aggravatedgeopoliticaltensionsundertheadversescenariofurther

disruptglobalsupplychains,triggeringrisingcommoditypricesandadversetrade

shocks.Comparedwiththebaselinescenario,realGDPgrowthfurtherdeterioratesin2024,withareboundonlyin2025.Thus,unlikethebaselinescenario,theadversescenarioinitiallyfeaturesafurtherincreaseininflationratescomparedwiththe

startingpoint.Highinflationexpectationsleadtomuchtighterfinancingconditions.Relativetothebaselinescenario,marketinterestratesundertheadversescenarioshowanevensteeperincreaserelativeto2022(Chart2).Euroswapratesincreasebyaround150-180basispointsacrossmaturitiesrelativetothebaselinescenario.Theyieldcurveispartiallyinvertedundertheadversescenarioaswell,indicating

thateventhoughinflationrisessharplyin2023andremainshighoverthecourseofthescenario,inflationexpectationsarestillanchoredinthelongrun.

Overall,thebaselinescenariodoesnotseemtobesystematicallymore

optimisticorpessimisticrelativetoavailablerealiseddataandcurrent

macroeconomicprojections.Comparedwiththerealisedvaluesfor2023andtheupdatedECBforecasts,euroareainflationunderthebaselinescenarioisabout1

percentagepointhigherthanrealisedinflationin2023,andpersistentlyhigherthancurrentprojections.

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RealGDPgrowthfortheeuroarea,ontheotherhand,isclosetorealisedvaluesin2023,butthebaselinescenarioforthefollowingtwoyearsis

moreoptimisticthancurrentprojections.Long-termratesunderthebaselineincreaselessthanrealisedones,andcurrentprojectionsseethemabout0.6

percentagepointshigher,whileunemploymentratesareslightlyaboverealisedandcurrentlyprojectedvalues.

6SeeESRB(2023).

7

Eurosystemstaffmacroeconomicprojectionsfortheeuroarea,

December2023.

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Chart2

EURswapratesandyieldcurvesunderthebaselineandadversescenarios

(percentages)

Source:ESRB(2023).

Notes:Developmentofswapratesandyieldcurvesinthebaselineandadverseannualscenarios.Upperpanels:timeseriesforEURswapratesatdifferentmaturities,withthestartofthescenarioperiodmarkedbytheverticalline.Lowerpanels:termstructures(withmaturitytenorsonthex-axis)ineachyearofthebaselineandadversescenarios.

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4Methodologicaldevelopmentsin

macroprudentialstresstestmodelling

Themacroprudentialstress-testingexerciseemploystheBEASTmodel,a

large-scalemodellinkingthemacroeconomyandthebankingsystem.The

modelfeaturesamacroeconomicblockcomprisingthe19euroareaeconomiesandcapturesdynamicinterdependenciesofaggregaterealandfinancialvariablesas

wellascross-countryspilloversviatradelinkages(Budniketal.,2023).Themodel

includesabankingblockwithadetailedandgranularrepresentationof98significantbanks,theirindividualbalancesheetsandprofitandlossaccounts.

4.1Updatestothemodelsincethe2021macroprudential

stresstest

Enhancementswererequiredtobettercapturetheshiftsintheeconomic

landscapeandtheinteractionbetweenmacro-financialvariablesandbank

behaviourthatoccurredsincethepandemic.Inthemacroeconomicblock,

improvementsweremadetoenhancethemodel’sestimationwhenincorporating

extremeshocksandallowingforchangesinshockvolatility.Thesechangesensurethemodel’srobustnessandaccuracyincapturingthecomplexitiesoftheeconomicenvironment,especiallyinthefaceofunforeseenandseveredisruptions.Forthe

bankingblock,keyadjustmentsfocusedonmodellingcreditdynamicsandthepass-throughofmonetarypolicytoratesandvolumesforbothassetsandliabilities.Theseadjustmentsaimtorefinethemodel’srepresentationofhowmonetarypolicyaffectscreditdynamicsandinfluencestheoverallresilienceofbanks.Improvingthe

understandingoftheseinteractionsisessentialforamoreaccuratedepictionofthe

bankingsector’sresponsetochangesintheeconomicenvironmentandpolicymeasures.

Thenewmacroeconomicblockfeaturesamoreflexiblespecificationoftheerrorstructurethatallowsforheavytailsandastrengthenedidentificationstrategy.Specifically,theerrortermisassumedtofollowaStudent-tdistribution.

Thisassumptionmakesthemodel’sestimationmorerobustwhenextreme

observationssuchasthoserelatedtothecoronavirus(COVID-19)pandemicorthegreatfinancialcrisisareincluded.

8

Theerrortermsduringtheseperiodsclearly

deviatefromthetypicalnormalityassumption(Chart3)

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,andnottakingthisfactintoaccountwouldseverelyaffectparameterestimatesandtheresultingmodel

dynamics.Underthenewspecification,estimatedparametersandthedistributionoferrorsprovedtobestableoverthesampleperiod.Thisdevelopmentimprovesthe

model’sforecastingperformanceoveroneestimatedonlyonthepre-pandemic

8SeeChan(2020),Hartwig(2022),andBobeicaandHartwig(2023).

9ThechartshowstheMahalanobisdistanceofthemodelerrorsfromzero,whichintuitivelymeasuresbyhowmanystandarddeviationsanobservationdiffersfromthemean,extendedtomultipledimensions.

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sample,withthelatterfeaturingrootmeansquaredforecasterrorsabouttwiceaslarge.

Therevisedmacro-blocknowproducesresultsconsistentwiththechangesinmonetarypolicystanceobservedoverthelastyear.Whenanalysingtheeffectsofmonetarypolicyshocksinamacroeconomicenvironmentcharacterisedbyan

abruptsurgeininflationandtheconsequentchangeinfinancingconditions,the

previousidentificationstrategydidnotgeneratecoherentdynamicreactionstothedrasticchangesinthemonetarypolicyshocks.Strengtheningtherestrictionsontheinterestratepolicycoefficientsinthestructuralformofthemodelimpliesthatthe

effectsofsuchshocksarenowinlinewiththeconsensusviewintheliterature.

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Chart3

Testfornormalityofvectorautoregressionestimationerrorterms

Source:Authors’calculations.

Notes:Period-by-periodposteriormediansoftheMahalanobisdistanceofvectorautoregression(VAR)residuals,averagedacross

countries.Thisdistancemeasureisageneralisationoftheconceptofhowmanystandarddeviationsanobservationisawayfromitsmeantomulti-dimensionalobservations.Thesolidbluelinedepictsthemodelwithheavytails.Thesolidyellowlineshowsthesame

statisticforthemodelwithoutheavytails.Thedashedblacklinesdepictthe10%(lowest),5%(middle)and1%(highest)criticalvaluesfromachi-squareddistributionwith12degreesoffreedom.

Theequationsgoverningbanks’behaviourinthebankingblockwere

recalibratedinthecontextofahighinflationenvironment.Previously,loandemandequations(brokendownbysector)wereestimatedoveraperiod

characterisedbylowandstableinflation,spanningdatafromthefourthquarterof2007tothefourthquarterof2020.Projectingvaluesbasedonthepreviously

estimatedequationcoefficientsinthecurrenthighinflationregimewouldresultinsustainedandprolongedcreditgrowth,significantlyexceedingmacroeconomic

projectionsandobservedvaluesfortheinitialquartersof2023.Toaddressthis

issue,inflation(asacontrolvariable)wasinteractedwithadummyvariablefortheperiodsafterthefirstquarterof2022

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tobetterincorporatetheimpactofrecentmacroeconomicdevelopments.Additionally,thehousepriceindexwasintroducedasanexplanatoryvariableforhouseholdloandemand,allowingforamore

10SeeArias,Caldara,andRubio-Ramírez(2019).

11Thisdummyvariablehasavalueof1fromthefirstquarterof2022onwards,and0otherwise.Itisalsosetto1duringtheforecastingperiod.

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comprehensiveunderstandingoftherelationshipbetweenhousingmarketdynamicsandmortgageloandemand.Thisrefinedspecificationyieldsprojectionswhichalignthemselvescloselywiththeactualdevelopmentofcreditgrowth,asevidencedby

observedvaluesforthefirstandsecondquartersof2023.Theseadjustmentsenhancethemodel’scapacitytoaccuratelycaptureandpredictcreditdynamicswithinthecurrenteconomiclandscape.

Thelendingrateequationsweresubstantiallyupdatedtoreflectamore

realisticpass-throughofchangesinshort-termrates.Theswiftincreasein

short-terminterestratessincethestartofthemonetarypolicytighteningcycleand

theslowadjustmentofratesonovernightdepositsimplythatbanks’averagefundingcostsarelowerthantheshort-terminterestrate.Inthepreviousversionofthe

model,bankswereassumedtofullypassontheimplieddeclineinthedifference

betweentheiraveragefundingcostsandtheshort-termmarketratetolendingrates,notfullytakingadvantageofthemarketconditions.

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Toaddressthisissue,the

averagefundingcostsinthelendingrateequationwereflooredbytheshort-term

marketrate,ensuringthatonlypositivefundingcostshocksarepassedthroughto

assetrates.Thisadjustmentraiseslendingratesby1to2percentagepointsand

bringsthemodel’soutputinlinewithobservedmarketdynamics,especiallysincethestartofinterestrateincreasesbytheECB.

Theequationsmodellingsightandtermdepositrateswererevisedtoallowfor

aneffectivetransmissionofchangesinmonetarypolicy.Previously,thepass-throughofshort-termrateswasinteractedwithanon-linearfunctiontoreflectthe

limitedpossibilityofbankstolowerdepositratesbelowthezerolowerbound.

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Thisspecificationimpliedthatrecentshort-terminterestrateincreaseswouldnotbe

passedthroughanddepositrateswouldremainclosetozeroindefinitely.Inlinewithrecentf