Non disponibile in italiano
Alessandra Agati
- 9 November 2026
- WORKING PAPER SERIES - No. 3308Details
- Abstract
- This paper provides an assessment of supervisory effectiveness in credit risk using confidential data from ECB Banking Supervision. The analysis covers 8,106 supervisory measures issued and closed between 2016 and 2025. A central contribution is the construction of a measure level indicator of supervisory effectiveness based on large language model (LLM) analysis of supervisory narratives and closure justifications. The indicator captures whether supervisory measures resulted in full remediation of the underlying deficiencies. Using logistic and duration models, we examine the characteristics of findings, measures, and banks associated with remediation outcomes and remediation speed. The results show that multi-faceted findings are a key driver of supervisory outcomes. Measures related to data, reporting, and IT deficiencies are less likely to achieve full remediation and require longer remediation periods. Measures originating from on-site inspections are associated with higher remediation rates and faster closure. Stronger governance is also associated with more successful remediation outcomes.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
E51 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Money Supply, Credit, Money Multipliers
H81 : Public Economics→Miscellaneous Issues→Governmental Loans, Loan Guarantees, Credits, Grants, Bailouts
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
- 18 March 2025
- WORKING PAPER SERIES - No. 3039Details
- Abstract
- We analyze the impact of negative reference rates on the interest rate behavior of more than 500 Austrian banks from 2009Q1 to 2021Q4. Using panel vector error correction analysis with the Engle-Granger procedure in two steps, we establish a cointegration vector that links bank-specific lending rates, deposit rates, the 3-month Euribor, and the ECB Deposit Facility Rate. We propose two hypotheses to evaluate the effects of negative 3-month Euribor on this vector. Firstly, we explore how an Austrian Supreme Court decision enforcing a zerolower bound on household deposits could decrease the lending-deposit rate spread. Secondly, we examine the emergence of two “true prices” for loans and deposits due to the negative 3-month Euribor. This is linked to an Austrian Supreme Court decision mandating the transmission of negative reference rates to bank-specific lending rates, potentially affecting cointegration with the 3-month Euribor. Our findings show a significant spread reduction after the introduction of negative reference rates, primarily driven by changes in the cointegration relationship between bank-specific lending rates and the 3-month Euribor. Additionally, by including the ECB Deposit Facility in our cointegration model, we capture the direct impact of the Targeted Long-Term Refinancing Operations on the lending rate.
- JEL Code
- C33 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects