2024-05-19-欧洲央行-2023年欧元区银行体系宏观审慎压力测试（英）_33页_1mb

2023 Macroprudential Stress Test of the Euro Area Banking System

Core Content

This paper presents the results of the 2023 macroprudential stress test for the euro area banking system, which includes approximately 100 of the largest credit institutions across 19 countries. The test evaluates how banks respond to adverse macroeconomic conditions and how these responses affect the financial system and real economy. It uses a dynamic macro-micro model called the BEAST model (Budnik et al., 2023), which incorporates bank adjustments, amplification mechanisms, and feedback loops between the banking sector and the economy.

Main Scenarios

Baseline Scenario

• Envisions an economic recovery after a slowdown in 2023.
• Real GDP growth rebounds to 1.9% in 2024 and 1.8% in 2025.
• Inflation remains elevated, and both short-term and long-term interest rates increase.
• The one-year euro swap rate rises to 3.7% in 2023 and falls to 3.2% in 2025.
• The yield curve is partially inverted, indicating long-term inflation expectations remain anchored.

Adverse Scenario

• Reflects a prolonged recession and heightened inflationary pressure.
• Geopolitical tensions exacerbate supply constraints and lead to rising commodity prices and adverse trade shocks.
• Real GDP growth deteriorates further in 2024, with a rebound only in 2025.
• Inflation increases more sharply compared to the baseline, and interest rates rise significantly.
• The yield curve is partially inverted, consistent with the baseline scenario, but with more pronounced effects.

Key Methodological Developments

• The BEAST model was updated to better reflect post-pandemic economic shifts and interactions between macroeconomic conditions and bank behavior.
• The macroeconomic block now uses a Student-t distribution for error terms, enhancing robustness in the presence of extreme shocks.
• The banking block includes recalibrated equations for credit dynamics, monetary policy pass-through, and deposit behavior, reflecting more realistic adjustments in the high inflation environment.
• Dynamic homogeneity in the liability structure was relaxed, allowing for more accurate modeling of deposit behavior in response to monetary tightening.

Main Findings

Banking System Resilience

• The euro area banking system remains resilient under the adverse scenario.
• The system-level CET1 ratio declines by approximately 2.5 percentage points by the end of 2025 under the adverse scenario, while it remains stable under the baseline scenario.
• Banks' deleveraging and de-risking strategies partially offset the impact of heightened credit risk and reduced net interest income (NII).

Capital and Profitability

• Under the baseline scenario, the CET1 ratio slightly decreases by 42 basis points, primarily due to credit losses and operating expenses.
• Under the adverse scenario, the CET1 ratio drops by more than 2 percentage points, mainly driven by increased credit risk and reduced NII.
• Banks' profitability remains positive in 2023, supported by higher NII, but begins to decline by 2024 and 2025 due to rising funding costs and economic slowdown.

Bank-Level Variability

• There is significant variation in CET1 ratio changes across banks, with interquartile ranges of 3.2 percentage points under the baseline and 4.3 under the adverse scenario.
• Banks with different business models experience varying impacts, with "lenders" showing the most significant CET1 depletion.
• In the adverse scenario, 12 banks breach the MDA trigger in 2025, with only four (accounting for 5.1% of RWA) falling below the minimum capital requirement.

Conclusion

The 2023 macroprudential stress test highlights the resilience of the euro area banking system under adverse conditions, emphasizing the role of banks' strategic adjustments in mitigating financial stress. The results show that while the banking system faces challenges, particularly in the adverse scenario, it remains capable of maintaining capital adequacy through deleveraging and de-risking. The BEAST model's enhancements provide a more accurate and robust framework for assessing bank resilience and macro-financial interactions.