欧阳央行-驾驭利率浪潮：2022-2023货币周期欧元区银行的利率与风险（英）

Working Paper Series Riding the rate wave: interest rate andrun risks in euro area banks during the 2022-2023 monetary cycle Jonathan Rice, Giulia Maria Guerrini 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 3090 AbstractThis paper examines how the ECB’s 2022–2023 interest-rate hikes affected euro-areabanks’ economic net worth and vulnerability to deposit runs. Drawing on granular,confidential data for 139 banks, we estimate each bank’s economic net worth and findthat unrealised losses on loans and bonds averaged around 30 per cent of equity. BySeptember 2023, however, roughly half of these losses had been offset by gains fromthe deposit franchise and interest-rate swaps. We develop a theoretical frameworklinking banks’ economic net worth and deposit-rate setting to depositor behaviourand run incentives. Further results indicate that banks with larger unrealised lossesraised their deposit rates by less - a pattern we interpret as banks leveraging amore valuable deposit franchise to fund longer-duration assets. Although euro-areabanks as a whole avoided widespread runs, several institutions nonetheless carriedsubstantial mark-to-market losses, suggesting latent fragilities.Keywords: Interest rate risk, bank runs, monetary policy, asset valuations, euro areabanking system.JEL codes: G21, E43, E58, G28ECB Working Paper Series No 30901ECB 11Non-Technical SummaryThis paper investigates the implications of the European Central Bank’s significanttightening of monetary policy throughout 2022-2023 on the financial stability of bankinginstitutions in the euro area, with a particular focus on their economic net worth andsusceptibility to deposit runs. The period under review was characterised by a rapid andsubstantial escalation in interest rates, representing a fundamental shift from the precedingera of low, or even negative, rates. This transition exposed banks to increased interestrate risk, primarily through the devaluation of fixed-rate asset portfolios accumulatedduring periods of lower yields.Employing granular, confidential data encompassing 139 euro area banks, this paperundertakes a detailed estimation of each institution’s economic net worth. Our approachmoves beyond standard accounting metrics to provide a more accurate assessment ofbanks’ underlying financial positions by marking to market their interest-rate-sensitiveassets, notably loan portfolios and bond holdings. The analysis reveals that, on average,our sample of euro area banks experienced unrealised losses on their loan and bondportfolios equivalent to approximately 30 per cent of their pre-hike equity. These mark-to-market losses represent a considerable erosion of economic value, even if not immediatelycrystallised in reported profits or regulatory capital.We estimate that, by September 2023, roughly half of these estimated unre