驾驭利率浪潮：2022-2023货币周期中欧元区银行的利率与挤兑风险

Riding the rate wave:interest rate andrun risks in euro area banks during the2022-2023 monetary cycle Jonathan Rice, Giulia Maria Guerrini Disclaimer:Thispaper should not be reported as representing the views of the European Central Bank(ECB). The views expressed are those of the authors and do notnecessarily reflect those of the ECB. Abstract This 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, G28 1Non-Technical Summary This 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 unrealised losseshad been offset by two hedging mechanisms.First, gains accrued from the ’depositfranchise’ – the economic benefit derived from funding assets with relatively low-cost, lessrate-sensitive retail and corporate deposits – proved substantial. Second, the utilisation ofinterest-rate swaps provided an explicit hedge against adverse rate movements for manyinstitutions. To illustrate the relationship between these balance sheet revaluations and deposit runrisk we develop a theoretical framework that connects a bank’s economic net worth andits deposit-rate setting strategies to the behaviour of depositors and their incentivesto withdraw funds. Regression findings linked to this framework indicate a discerniblepattern: banks encumbered with larger unrealised losses tended to increase their deposit rates to a lesser extent. This behaviour is interpreted as these banks ex-ante leveraging amore valuable deposit franchise, characterised by less rate-sensitive depositors, to fundlonger-duration assets.Such actions are in line with conventional asset and liabilitymanagement theory as banks seek to align the duration of their assets with their liabilities,however, these actions expose banks to cliff-edge bank runs as their longer-duration assetsincrease the likelihood they become insolvent on a mark-to-market basis. Notwithstanding the substantial mark-to-market pressures and the isolated bankingstresses observed internationally, the euro area banking system as a whole did notexperience widespread deposit runs or systemic failures during this monetary tighteningcycle.This resilience can be attributed to a combination of factors, including theaforementioned hedging effects of the deposit franchise and derivatives, alongside differentstructural characteristics of euro area bank balance sheets and depositor behaviourcompared to other jurisdictions. In conclusion, while the euro area banking sector demonstrated considerable resilienceduring the 2022-2023 period of rising interest rates, this paper uncovers vulnerabilitieswith