Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229083
Authors: 
Budnik, Katarzyna
Mozzanica, Mirco Balatti
Dimitrov, Ivan
Groß, Johannes
Kleemann, Michael
Reichenbachas, Tomas
Sannà, Francesco
Sarychev, Andrei
Siņenko, Nadežda
Volk, Matjaz
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2469
Abstract: 
The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area banks with that of the euro area economies. It reflects banks' heterogeneity by replicating the structure of their balance sheets and profit and loss accounts. In the model, banks adjust their assets, interest rates, and profit distribution in line with the economic conditions they face. Bank responses feed back to the macroeconomic environment affecting credit supply conditions. When applied to a stress test of the euro area banking system, the model reveals higher system-wide capital depletion than the analogous constant balance sheet exercise.
Subjects: 
macro stress test
macroprudential policy
banking sector deleveraging
real economy-financial sector feedback loop
JEL: 
E37
E58
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4386-4
Document Type: 
Working Paper

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