20211109_LargeModelST

More documents

Recommendations

Info

Granular representation of banks’ assets Loans to central banks and public sector Loans to financial institutions Loans to corporates (secured and not secured by real estate) Loans to households backed by real estate Loans to households not backed by real estate Equity Securitisation Other • Three modelling granularity levels • Sector-level: loans to central banks, public sector, financial institutions • Sector-country level: loans to the non-financial private sector • Simplified dynamics • Modelling asset quality • Loans (in each portfolio) subdivided into Stage1, Stage2 and Stage3 (non-performing) assets • Endogenous transition probabilities between risk categories, LGDs and risk-weight parameters • Dynamic balance sheet • Empirical modelling of lending volumes • New loans depend on the ‘optimal’ level of outstanding loans and maturity structure of the loan portfolio 8 www.ecb.europa.eu ©
Banks' lending volumes Loan demand factors Dynamic homogeneity PP PP ss ∆LLLLLLLLLL iiii,tt = αα ss ss pp ∆LLLLLLLLLL iiii,tt−pp + ββ ss ss pp ∆GGGGGG jj,tt−pp + γγ ss pp IIIIIIII jj,tt−pp + δδ ss X jj,tt + pp=1 pp=1 pp=1 μμ ss 1 CCCCCCC ii,tt−1 − CCCCCCC ii,tt−1 + μμ ss 2 CCCCCCC ii,tt−1 − CCCCCCC ii,tt−1 II CCCCCCC ii,tt−1 − CCCCCCC ii,tt−1 + ss + μμ ss ss ss ss 4 NNNNNN ii,jjjj−1 II NNNNNN ii,jjjj−1 − NNNNNN ii,jjjj−5 + μμ ss 5 RRRRRR ii,tt−1 + μμ ss ss 6 RRRRRRRRRRRRRRRRRRRR ii,tt−1 + ϵ ii,jj,tt μμ 3 ss NNNNNN ii,jjjj−1 PP Non-linearities Loan supply factors • Dependent variable: the quarterly growth rate of loans of bank i to sector s, in country j, in time t • Two stage estimation to deal with data limitations • Loan demand factors: fixed-effect dynamic panel regression with restrictions allowing for cross-sectional dependence (Pesaran, 2004) and employing iBSI/iMIR dataset (2007-2020) • Loan supply factors: regression with counterparty-sector-time fixed effects as in Khwaja and Mian (2008) employing SUBA data (2014-2020) 9 www.ecb.europa.eu ©
Page 1 and 2: Large model stress testing Katarzyn
Page 3 and 4: What is the macro-micro model BEAST
Page 5 and 6: BEAST* high-level overview 19 euro
Page 7: Macro block • The dynamics of eco
Page 11 and 12: Prudential policies • CRDIV capit
Page 13 and 14: Differing simulation properties 13
Page 15 and 16: Perspective at the onset of COVID-1
Page 17 and 18: Narrative based selection GDP growt
Page 19 and 20: Lending impact Impact of policies o
Page 21 and 22: Background • The phase-in of Base
Page 23 and 24: Cost and benefit assessment so far
Page 25 and 26: Initial impact of Basel III finaliz
Page 27 and 28: Debt funding costs after transition
Page 29 and 30: 2021 and three EU Basel III impleme
Page 31 and 32: Plain vanilla design and scenario s
Page 33 and 34: Benefits of EU-specific versus plai
Page 35 and 36: Conclusions: balancing costs and be
Page 37: Q&A 37 www.ecb.europa.eu ©

20211109_LargeModelST

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?