高利率如何影响银行：贷款损失和宏观审慎政策的作用

How Do High InterestRates Affect Banks: TheRoles of Loan Losses andMacroprudential Policy Romain Bouis, Sumaiyah Mirza, and Erlend Nier WP/25/196 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025SEP IMF Working Paper Monetary and Capital Markets Department How Do High Interest Rates Affect Banks: The Roles of Loan Losses and Macroprudential PolicyPrepared byRomain Bouis, Sumaiyah Mirza, and Erlend Nier Authorized for distribution byChristopher ErcegSeptember2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:This paper examines empirically how the effect of interest rates on the three components of bankprofits–loan loss provisions, net interest margin, and non-interest income–varies depending on bankcharacteristics and the macroprudential policy environment. A new finding is that higher interest rates lead tolarger loan loss provisions for banks offering flexible-rate loans, but that this effect is attenuated whenmacroprudential borrower-based measures have been tight in preceding years. Tighter macroprudentialsettings also reduce the effect of higher unemployment on loan loss provisions recorded by banks, and therebythe negative impact of unemployment on profitability. Moreover, we find significant heterogeneity across banks:banks with strong risk appetite that extend loans at flexible rates are adversely affected by higher interest rates,as the effect on loan losses dominates the effect on the interest margin, while the profitability of other banksbenefits on average from higher interest rates. RECOMMENDED CITATION:Bouis Romain, Sumaiyah Mirza, and Erlend Nier. 2025. “How Do High InterestRates Affect Banks: The Roles of Loan Losses and Macroprudential Policy.” IMF Working Paper No.2025/196. How Do High Interest Rates AffectBanks: The Roles of Loan Lossesand Macroprudential Policy Prepared byRomain Bouis, Sumaiyah Mirza, and Erlend Nier1 1.Introduction As monetary policy rates moved up globally to contain inflationary pressures in the wake of the COVID-19crisis, higher interest rates have been accompanied by mixed effects for banking sector stability. Some banksexperienced a sharp drop in the valuationof their assets, as the value of long-dated fixed income securities fellwhen interest rates rose, leading to runs on banks (e.g., Silicon Valley Bank in March 2023), especiallyforbanks withuninsured deposits (Drechsler et al. 2023). Higher interest rates were also expected to increase thedebt service burden of borrowers, which may, with some lag, translate into higher loan defaults and loan lossprovisions (IMF 2023), and some countries did see loan delinquencies rising in both the consumer andcorporate segments of the credit markets. However, higher interest rates also bolstered net interest margins inseveral countries as banks’ deposits repriced more slowly than loans. This supported bank profits andcontributed to strengthening financial stabilityby improving banks’ ability to generate capital internally throughretained earnings. Against this backdrop, this paper analyzes empirically the effect of interest rates on the three components ofbank profitability–loan loss provisions, net interest margin, andnon-interest income–and through theseeffects on overall bank profitability. Our empirical approach uses a cross-country panel of banks, allowing us toexamine the roles of bank characteristics and macroprudential policies in determining the strength of the impactof higher interest rates on bank profitability, and ultimately onbanking system stability. An important contribution of this study is to explore the role of macroprudential policy in attenuating the effect ofhigher interest rates and other macroeconomic shocks on loan loss provisions. The rise in loan loss provisionsfollowing higher interest rates should be less pronounced when tight borrower-based measures have been inplace ahead of the period of high rates, especially for floating-rate loans, which are the most likely to be directlyaffected by higher interest rates, or ahead ofthehigher unemploymentthat couldensue when interest ratesrise. We introduce a newly built index of the restrictiveness of borrower-based measures (BBMs) to analyze whetherthese measures can mitigate the effect of higher interest rates on loan loss provisions. In contrast to existingindices of macroprudential policythat mainly track tightening and loosening actions through time, our indexaims to reflect the level of restrictiveness at any given point in time. This annual index is ba