Magyar nyelven nem elérhető
Finn Faber
- 15 July 2026
- WORKING PAPER SERIES - No. 3255Details
- Abstract
- We investigate the supply and demand drivers of bank deposit pricing in the Euro area during the period 2007–2024. We document that the pass-through of policy rates to sight deposit rates is low, asymmetric, varies across the monetary policy regimes, and decreases over time. We build and estimate an equilibrium model of bank deposit markets, and find that the price sensitivity of depositors exhibits large heterogeneity between households and firms, across countries, and over time. Our estimates suggest that rate-sensitive depositors increasingly switched to alternative, higher-yielding savings products over time, thereby decreasing the average rate-sensitivity of the remaining pool of sight deposits. In turn, banks’ market power over sight deposits increased, thereby accounting for the sluggish increase in overnight deposit rates following the 2022 European Central Bank’s policy rate hikes.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
- 15 June 2026
- DISCUSSION PAPER SERIES - No. 30Details
- Abstract
- The paper documents models used to analyse the interactions and trade-offs between price and financial stability at the European Central Bank. The paper describes a simple conceptual framework to think about the short- and medium-term trade-offs between price and financial stability. Short-term trade-offs arise whenever current inflationary pressure is high, but the financial system is experiencing stress. Medium-term trade-offs arise whenever current inflationary pressure is low, but risk is building up in the financial system. We document four main sets of models used to quantify trade-offs: time series models, balance sheet models, credit risk models and DSGE models with banking and financial frictions.
- JEL Code
- E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
- 19 November 2025
- MACROPRUDENTIAL BULLETIN - ARTICLE - No. 32Details
- Abstract
- Stress test simulations can enhance our understanding of the interplay between bank actions, the real economy and macroprudential buffers. Leveraging BEAST, the ECB’s workhorse top-down stress test model, this article explores impacts stemming from bank behavioural reactions by simulating them under the adverse scenario of the 2025 EU-wide stress test. The article shows that allowing banks to adjust their balance sheets only improves their capital ratios to a minor extent compared with simulations where they are assumed to keep their balance sheets constant. However, these reactions trigger negative credit supply shocks, exacerbating the downturn. Conversely, releasing available releasable buffers reduces banks’ incentives to deleverage and mitigates GDP contraction. These findings highlight how stress test simulations can inform macroprudential policy. More generally, they underscore the value of building sufficient releasable buffers during stable periods, to be used in times of stress to sustain credit supply to the real economy while preserving banks’ resilience.
- JEL Code
- G20 : Financial Economics→Financial Institutions and Services→General
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation