Non disponibile in italiano
Marcel Bräutigam
- 5 August 2026
- WORKING PAPER SERIES - No. 3270Details
- Abstract
- We design an econometric framework to simulate multiple adverse macro-financial scenarios that can be used in top-down stress tests. First, we create a financial stress index informed by shocks generated via a non-parametric copula estimated on a large dataset of daily financial indicators. Second, we simulate the joint dynamics of macroeconomic indicators conditional on the copula-based financial shocks in a large multi-country Bayesian VAR model. This framework,which we refer to as the Multiple macro-financial stress scenario Simulation Engine, MuSE, allows us to replicate thousands of macro-financial stress scenarios where adverse shocks generated in the financial sector propagate into the overall economy, triggering significant macroeconomic fluctuations. We demonstrate its functionality by generating a large number of scenarios inspired from past crises capturing stress stemming from financial markets, sovereign debt, and geopolitical tensions. Using a top-down solvency stress test model, based on recent EU-wide stress tests, we project the capital depletion for euro area banks and find that adverse scenarios triggered by stock market and sovereign shocks appear to threaten the resilience of the euro area banking sector the most at this juncture.
- JEL Code
- C15 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Statistical Simulation Methods: General
G01 : Financial Economics→General→Financial Crises
G17 : Financial Economics→General Financial Markets→Financial Forecasting and Simulation
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
- 22 November 2023
- FINANCIAL STABILITY REVIEW - ARTICLEFinancial Stability Review Issue 2, 2023Details
- Abstract
- This special feature builds on the concept of maturity gap as a metric of banks’ maturity mismatch to shed light on how banks’ engagement in maturity transformation differs across euro area countries and bank types. Banks can mitigate the interest rate risk stemming from their maturity mismatch by using derivatives for hedging purposes. Euro area banks increased their positions in interest rate derivatives over the last two years in anticipation of the start of monetary policy normalisation. Significant institutions rely more than cooperative and savings banks on interest rate derivatives and have a more diversified positioning. A box within the special feature finds that this greater reliance on derivatives was not sufficient to compensate for the material increase in interest rate risk. The extent of banks’ maturity mismatch determines the sensitivity of their net interest income to changes in interest rates and the slope of the yield curve. This special feature provides empirical evidence that the more banks engage in maturity transformation, the more their net interest margin benefits from a steepening of the yield curve, boosting bank profits. This effect might dissipate going forward, especially for banks in countries where variable-rate lending predominates.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G32 : Financial Economics→Corporate Finance and Governance→Financing Policy, Financial Risk and Risk Management, Capital and Ownership Structure, Value of Firms, Goodwill