Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297295 
Year of Publication: 
2023
Series/Report no.: 
ECB Working Paper No. 2855
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
The Banking Euro Area Stress Test (BEAST) is a large-scale semi-structural model developed to analyse the euro area banking system from a macroprudential perspective. The model combines the dynamics of approximately 90 of the largest euro area banks with those of individual euro area economies. It reflects the heterogeneity of banks by replicating the structure of their balance sheets and profit and loss accounts. Additionally, it allows banks to adjust their assets, funding mix, pricing decisions, management buffers, and profit distribution along with individual bank conditions, including their capital and liquidity requirements, and other supervisory limits. The responses of banks impact credit supply conditions and have feedback effects on the macroeconomic environment. Stochastic solutions of the model provide a solid foundation for investigating multiple scenarios, deriving at-risk measures, and estimating model uncertainty. The model is regularly utilised to assess the resilience of the euro area banking sector, including in the biennial ECB macroprudential stress tests, as well as to analyse the effects of regulatory, macroprudential, and monetary policy changes.
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: 
978-92-899-6220-9
Document Type: 
Working Paper

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