欧洲央行-银行贷款利率与欧元区家庭贷款风险（英）

Working Paper Series Bank lending rates and the riskiness of euro area household loans Spyros Palligkinis Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3053 Abstract I assess the impact of the recent hike in bank lending rates on euro area retail borrowers using a novel microsimulation framework that updates household-level data of a recent representative survey with up-to-date macro-financial information. The key novelty is that existing mortgages are gradually repaid, and new ones are extended, a feature necessary for medium-term simulations in a period of sizable credit growth. Since lending rates have increased, debt servicing has become more demanding, and the simulated share of distressed loans has increased. Effects are stronger for adjustable-rate mortgages, and especially for the most recent among them, but are present in all portfolios. JEL codes: C1, G2, G51, E52. Keywords: monetary policy, financial stability, household finance, microsimulations. ECB Working Paper Series No 30531Non-technical summary Central banks in most major jurisdictions around the world increased policy rates and phased out asset purchases and other unconventional policy measures, in reaction to increased and persistent inflationary pressures. As a result, lending rates spiked for all types of borrowers, as monetary authorities activated the interest rate channel of monetary policy. Despite the retreat of inflation to lower levels in 2024, its outlook remains uncertain. The level and speed of monetary tightening were deemed necessary to fight inflation but have triggered memories of the Global Financial Crisis, when monetary tightening triggered a severe recession which, in the case of US, was closely linked to the household sector. Although mitigating policies have since been put in place in developed economies, the assessment of household loan riskiness is a necessary item in policymakers’ toolkits, especially for the euro area, whose heterogeneous mortgage markets affect the way monetary policy is transmitted to its economies. This paper combines the only publicly available, standardised data source for euro area household balance sheets with a novel microsimulation methodology to derive estimates of the riskiness of euro area household loans. The data were mainly collected in 2020-2021 and cover extensive information on household demographics, income, assets, and liabilities. The microsimulation framework updates the survey information using quarterly country-level macroeconomic and financial developments between the time of data collection and 2023 Q2, thus covering 4 quarters of tightening of financing conditions. Its key novelty is that features dynamic household behaviour with respect to mortgage-financed house purchases, as existing mortgages are gradually repaid, and new mortgages are issued. It