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ECB - European Central Bank
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Latest releases on the ECB website - Press releases, speeches and interviews, press conferences.
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Mortgage loan rates and the defaults of variable rate mortgages
Using a granular database of variable rate euro area loans and analysing their defaults between 2014 and 2019, we show that the effect of interest rate changes on mortgage defaults is highly non-linear. First, we find that the risk associated with higher contemporaneous interest rates is concentrated among borrowers who got the loan at ultra-low interest rates, their default probability being 2.6 times higher than our sample average. Second, we show that the effect of interest rate changes on the default probability is asymmetric: interest rate cuts have rather small effects, whereas increases significantly raise default probabilities. Finally, we show that the magnitude of the effect of an interest rate increase depends on the history of net interest rate changes, with a consecutive interest rate increase having a 3 times stronger impact on the default probability than an increase following an interest rate decrease.
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Central bank money as a catalyst for fungibility: the case of stablecoins
To ensure that means of payments are readily interchangeable at face value – i.e. fungible – for retail payments, three elements are required: (1) settlement finality; (2) interoperability; and (3) seamless convertibility of the means of payment into the “ultimate” or quasi-ultimate means of payment. This paper argues that stablecoins issued by different issuers on different blockchains can be fungible to the same extent as commercial bank deposits from different banks provided that (i) payment and settlement technologies are interoperable, (ii) payments are transacted on ledgers that offer settlement finality, and (iii) that central bank money acts as the anchor to the monetary system (assuming that the central bank money is itself underscored by a homogenous unit of account). On this basis, this paper asserts that tokenised funds and off-chain collateralised stablecoins are fungible means of payments under some conditions, and that on-chain collateralised stablecoins can be prima facie classified as fungible means of payments, so long as the identical preconditions associated with accomplishing means of payment fungibility for tokenised funds/off-chain collateralised stablecoins can be fulfilled, and on the premise that the on-chain collateral can be readily converted into higher level money. Finally, it is determined that algorithmic stablecoins are not fungible means of payments.
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The signaling effects of fiscal announcements
Announcing a large fiscal stimulus may signal the government’s pessimism about the severity of a recession to the private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling effects occur when the stimulus exceeds expectations and are more noticeable during periods of high economic uncertainty. Analysis of a new dataset of daily stock prices and fiscal news in Japan supports these predictions. We introduce a method to identify fiscal news with different degrees of signaling effects and find that such effects weaken or, in extreme cases, even completely undermine the stabilizing impact of the announcements.
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The heterogeneous impact of labor market shifts on household mortgage-taking
This paper examines how structural change in labor markets affects household credit outcomes. Using a Shift-Share instrumental variable approach, we find that occupational shifts negatively influence mortgage holding for households facing fa-vorable job market conditions, such as stable employment and income growth. Our results, robust to alternative specifications, suggest that when both individual and economy-wide career prospects are favorable, the opportunity costs of settling down grow accordingly.
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The causal effect of inflation on financial stability, evidence from history
In contrast to the conventional Fisherian view that inflation reduces real debt positions, we show that significant increases in inflation are strongly associated with financial crises. In the spirit of JordĂ et al. (2020), countries with free and fixed ex-change rates can be compared to difference out the confounding reaction of monetary policy. Across a dataset of 18 advanced economies over 151 years, we show that the impact of inflation extends beyond its indirect effect via monetary policy. To further corroborate causality, we instrument inflation with oil supply shocks, finding that a 1pp rise in inflation doubles the probability of financial crisis from its sample average. We give evidence for the redistribution channel, where inflationary shocks directly cut real incomes, as a possible mechanism. In conjunction with recent literature on the dangers of rapidly tightening monetary policy, our results point to a difficult trade-off for central banks once inflation has risen.
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Buffer usability in a complex world: Interactions between macroprudential regulation and the resolution framework
This paper explores the interplay between the risk- and leverage-based prudential and the resolution frameworks within the EU banking system. The prudential framework is designed to enhance the resilience of both individual banks and the banking sector as a whole. It does so by imposing minimum capital requirements and capital buffers that can absorb losses during periods of financial stress. Conversely, the resolution framework focuses on ensuring that banks have adequate loss-absorbing and recapitalisation capacity to facilitate an orderly resolution process, thereby safeguarding public funds. The simultaneous use of capital across and within these two frameworks can have an impact on the effectiveness of capital buffers, presenting various challenges for macroprudential authorities. Our analysis shows that overlaps between risk-based and leverage-based requirements within the prudential framework reduce buffer usability to around 65% to 74% of the overall combined buffer requirement. When the resolution framework is also considered, buffer usability further declines to an average of 40% to 50%, depending on the analytical approach employed. Our simulations of buffer usability under different regulatory options discussed in the literature suggest that implementing the final Basel III standards in the EU would significantly increase buffer usability. The paper also analyses the impact of other options that could reduce or eliminate overlaps between capital buffers and other parallel requirements and quantifies the trade-offs between increased buffer usability and the costs of implementation. As resolution requirements are fully phased in as of 2024, the future evolution of buffer usability and the potential challenges for macroprudential authorities will also depend on how banks set their capital targets relative to the parallel frameworks and how they adapt their balance sheet structures to meet prudential and resolution requirements.
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ECB staff macroeconomic projections for the euro area, September 2025
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Nonlinearities and heterogeneity in firms response to aggregate fluctuations: what can we learn from machine learning?
Firms respond heterogeneously to aggregate fluctuations, yet standard linear models impose restrictive assumptions on firm sensitivities. Applying the Generalized Random Forest to U.S. firm-level data, we document strong nonlinearities in how firm characteristics shape responses to macroeconomic shocks. We show that nonlinearities significantly lower aggregate esponses, leading linear models to overestimate the economy’s sensitivity to shocks by up to 1.7 percentage points. We also find that larger firms, which carry disproportionate economic weight, exhibit lower sensitivities, leading to a median reduction in aggregate economic sensitivity of 52%. Our results highlight the importance of accounting for nonlinearities and firm heterogeneity when analyzing macroeconomic fluctuations and the transmission of aggregate shocks.
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Public debt, iMPCs & fiscal policy transmission
This paper investigates the relationship between public debt and the effectiveness of fiscal policy, presenting evidence of an inverse relationship between government debt and fiscal multipliers. To explain the results, I develop and calibrate a HANK model tailored to the U.S. economy. The model reveals that higher public debt diminishes fiscal multipliers by making households less constrained. Theoretically, I show intertemporal marginal propensities to consume (iMPCs) are sufficient statistics of public debt, influencing fiscal multipliers. Decomposing changes in iMPCs into components driven by wealth distribution and the policy function, I find that the primary factor driving variations in iMPCs is the change in interest rates due to the variation of government bonds. This highlights a novel mechanism: even in the absence of fiscal limits or crowding out, large stocks of debt can weaken fiscal stimulus through their effect on household behavior.
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Opening the black box of local projections
Local projections (LPs) are widely used in empirical macroeconomics to estimate impulse responses to policy interventions. Yet, in many ways, they are black boxes. It is often unclear what mechanism or historical episodes drive a particular estimate. We introduce a new decomposition of LP estimates into the sum of contributions of historical events, which is the product, for each time stamp, of a weight and the realization of the response variable. In the least squares case, we show that these weights admit two interpretations. First, they represent purified and standardized shocks. Second, they serve as proximity scores between the projected policy intervention and past interventions in the sample. Notably, this second interpretation extends naturally to machine learning methods, many of which yield impulse responses that, while nonlinear in predictors, still aggregate past outcomes linearly via proximity-based weights. Applying this framework to shocks in monetary and fiscal policy, global temperature, and the excess bond premium, we find that easily identifiable events—such as Nixon’s interference with the Fed, stagflation, World War II, and the Mount Agung volcanic eruption—emerge as dominant drivers of oftenheavily concentrated impulse response estimates.
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Geography versus income: the heterogeneous effects of carbon taxation
The distributive effects of carbon taxation are critical for its political acceptability and depend on both income and geographic factors. Using French administrative data, household surveys, and matched employer-employee records, we document that rural households spend 2.8 times more on fossil fuels than urban households and are employed in firms that emit 2.7 times more greenhouse gases. We incorporate these insights into a spatial heterogeneous-agent model with endogenous migration and wealth accumulation, linking spatial and macroeconomic approaches. After an increase in carbon taxes, we quantify that rural households face 20% higher welfare losses than urban households. In an optimal revenue-recycling exercise, we compare transfers targeting income and geography, and show that neglecting for geography reduces welfare gains by 7%. We conclude that carbon policies should account for spatial differences to improve political feasibility.
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Central bank communication with non-experts: insights from a randomized field experiment
We would like to thank Philipp Lane, Klaus Adam, Michael Ehrmann, Christophe Kamps, Timo Reinelt, Annalisa Ferrando, Philippine Cour-Thimann, Felix Hammermann, Davide Romelli, Andreas Kapounek, and colleagues from DG Communication for for their valuable feedback on earlier versions of this paper. This paper was presented at the 2025 AEA Conference in San Francisco, and we appreciate the feedback and suggestions received from the participants. We would also like to thank colleagues from 11 Business Areas of the ECB for their presentations to visitors, as well as colleagues from DG Communications for their support in conducting the surveys with the visitor groups, especially Alexandra Kroppenstedt, Nadia Bates, Christian Scherf, and Emma-Katharina David. This experiment is pre-registered in the AEA RCT registry (ID: AEARCTR-0012902). Declaration of Interest: Jung is employed by the European Central Bank. The views expressed in this article are those of the authors and do not necessarily reflect those of the ECB. The authors remain responsible for any errors or omissions.
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The macroeconomic impact of trade policy: a new identification approach
This paper examines the effects of trade policy shocks on the US economy using a novel identification strategy that combines narrative information on trade policy changes with stock market data. We introduce a new data set of daily trade policy statements from 2007 to 2019, allowing us to capture a comprehensive range of trade policy actions. By analyzing stock price reactions of trade-exposed and non-trade-exposed firms around these statements, we can identify unanticipated trade policy shocks. Using the local projection method, we analyze asymmetries and non-linearities based on the sign and magnitude of the shocks. We find that the gains from trade liberalizations and the damage from protectionism are of equal magnitude in absolute terms, with no non-linearities observed along this dimension. On the other hand, trade policy shocks originating from trading partners have a stronger impact on the economy than those initiated by the US. Moreover, the implementation of policy changes generates a more significant response than mere announcements. Uncertainty about policymakers’ commitment to planned policy changes leads firms and households to adopt a cautious “wait and see” approach. As an extension, we explore whether using President Trump’s tweets instead of official statements affects our results.
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Heterogeneous intermediaries in the transmission of central bank corporate bond purchases
This paper studies the role of financial intermediaries in the transmission of central bank corporate bond purchases to bond yields. Contrary to standard expectations, we find that mutual funds—typically viewed as price-elastic investors—amplify, rather than dampen, the effects of these interventions on bond spreads. Following the ECB’s corporate bond purchase announcements in 2016 and 2020, bonds predominantly held by mutual funds experienced significantly larger and more persistent declines in spreads compared to those held by price-inelastic investors such as insurance companies, even after controlling for a broad set of bond characteristics. Drawing on additional empirical evidence and an equilibrium asset pricing model, we show that the state-contingent nature of the policy reduces perceived market risk for procyclical investors like mutualfunds, thereby boosting demand and compressing risk premia.
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How to conduct joint Bayesian inference in VAR models?
When economic analysis requires simultaneous inference across multiple variables and time horizons, this paper shows that conventional pointwise quantiles in Bayesian structural vector autoregressions significantly understate the uncertainty of impulse responses. The performance of recently proposed joint inference methods, which produce noticeably different error band estimates, is evaluated, and calibration routines are suggested to ensure that they achieve the intended nominal probability coverage. Two practical applications illustrate the implications of these findings: (i) within a structural vector autoregression, the fiscal multiplier exhibits error bands that are 51% to 91% wider than previous estimates, and (ii) a pseudo-out-of-sample projection exercise for inflation and gross domestic product shows that joint inference methods could effectively summarize uncertainty for forecasts as well. These results underscore the importance of using joint inference methods for more robust econometric analysis.
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