EBA欧洲银行-EBA-ST-2011-004-Annex-3-Detailed-overall-scenario-table-EEA_1_2页_82kb

2011 EU-Wide Stress Test Macro-Economic Scenarios Summary

Core Content

This document outlines the macro-economic scenarios used for the 2011 EU-wide stress test, focusing on key economic indicators such as GDP growth, unemployment rates, interest rates, exchange rates, and real estate prices for various EU member states. It includes three main scenarios: Baseline, Deviation from Baseline, and Adverse Scenario, with some data also referencing the 2010 year for comparison.

Main Indicators Overview

GDP at Constant Prices (Annual Percent Change)

• Baseline Scenario:

  • Austria: 1.7% (2011), 2.1% (2012)
  • Belgium: 1.8% (2011), 2.0% (2012)
  • Bulgaria: 2.6% (2011), 3.8% (2012)
  • Cyprus: 2.3% (2011), 3.1% (2012)
  • Czech Republic: 1.9% (2011), 1.8% (2012)
  • Denmark: 4.4% (2011), 3.5% (2012)
  • Estonia: 2.9% (2011), 2.3% (2012)
  • Finland: 1.6% (2011), 1.8% (2012)
  • France: 2.2% (2011), 2.0% (2012)
  • Germany: 3.0% (2011), 3.2% (2012)
  • Greece: 0.9% (2011), 1.9% (2012)
  • Hungary: 1.1% (2011), 1.4% (2012)
  • Ireland: 1.5% (2011), 1.8% (2012)
  • Italy: 2.8% (2011), 3.2% (2012)
  • Latvia: 3.3% (2011), 4.0% (2012)
  • Lithuania: 2.8% (2011), 3.1% (2012)
  • Luxembourg: 5.5% (2011), 5.7% (2012)

• Deviation from Baseline:

  • Austria: -2.4% (2011), -2.7% (2012)
  • Belgium: -1.8% (2011), -2.2% (2012)
  • Bulgaria: -1.5% (2011), -2.3% (2012)
  • Cyprus: -2.1% (2011), -1.6% (2012)
  • Czech Republic: -2.6% (2011), -1.6% (2012)
  • Denmark: -1.5% (2011), -2.0% (2012)
  • Estonia: -3.4% (2011), -4.4% (2012)
  • Finland: -1.2% (2011), -1.6% (2012)
  • France: -3.1% (2011), -1.0% (2012)
  • Germany: -2.3% (2011), -2.5% (2012)
  • Greece: -1.6% (2011), -2.0% (2012)
  • Hungary: -10.0% (2011), -10.0% (2012)
  • Ireland: -10.0% (2011), -10.0% (2012)
  • Italy: -2.3% (2011), -2.5% (2012)
  • Latvia: -2.4% (2011), -1.7% (2012)
  • Lithuania: -3.5% (2011), -2.0% (2012)
  • Luxembourg: -4.6% (2011), -2.6% (2012)

• Adverse Scenario:

  • Austria: -0.7% (2011), -0.6% (2012)
  • Belgium: 0.0% (2011), -0.2% (2012)
  • Bulgaria: 1.1% (2011), 1.5% (2012)
  • Cyprus: -0.6% (2011), 0.6% (2012)
  • Czech Republic: -0.3% (2011), 1.5% (2012)
  • Denmark: -0.4% (2011), -2.1% (2012)
  • Estonia: -0.5% (2011), -0.2% (2012)
  • Finland: -0.3% (2011), -1.6% (2012)
  • France: -0.1% (2011), -0.9% (2012)
  • Germany: -0.9% (2011), -8.5% (2012)
  • Greece: -1.2% (2011), -3.5% (2012)
  • Hungary: -10.0% (2011), -10.0% (2012)
  • Ireland: -10.0% (2011), -10.0% (2012)
  • Italy: -10.0% (2011), -10.0% (2012)
  • Latvia: -10.0% (2011), -10.0% (2012)
  • Lithuania: -10.0% (2011), -10.0% (2012)
  • Luxembourg: -10.0% (2011), -10.0% (2012)

Unemployment Rate (as % of Total Labour Force)

• Baseline Scenario:

  • Austria: 4.2% (2011), 4.0% (2012)
  • Belgium: 8.8% (2011), 8.7% (2012)
  • Bulgaria: 9.1% (2011), 8.0% (2012)
  • Cyprus: 6.6% (2011), 5.9% (2012)
  • Czech Republic: 6.3% (2011), 5.8% (2012)
  • Denmark: 15.1% (2011), 13.6% (2012)
  • Estonia: 7.8% (2011), 7.2% (2012)
  • Finland: 9.5% (2011), 9.2% (2012)
  • France: 6.7% (2011), 6.3% (2012)
  • Germany: 15.0% (2011), 15.2% (2012)
  • Greece: 11.0% (2011), 10.3% (2012)
  • Hungary: 13.4% (2011), 12.7% (2012)
  • Ireland: 8.3% (2011), 8.2% (2012)
  • Italy: 16.9% (2011), 15.1% (2012)
  • Latvia: 5.6% (2011), 5.6% (2012)
  • Lithuania: 17.7% (2011), 16.2% (2012)

• Deviation from Baseline:

  • Austria: 0.3% (2011), 0.8% (2012)
  • Belgium: 0.2% (2011), 1.1% (2012)
  • Bulgaria: 0.1% (2011), 0.9% (2012)
  • Cyprus: 0.3% (2011), 1.2% (2012)
  • Czech Republic: 0.8% (2011), 1.7% (2012)
  • Denmark: 0.3% (2011), 1.4% (2012)
  • Estonia: 0.1% (2011), 0.6% (2012)
  • Finland: 0.1% (2011), 0.6% (2012)
  • France: 0.1% (2011), 0.6% (2012)
  • Germany: 0.0% (2011), 0.0% (2012)
  • Greece: 1.5% (2011), 3.1% (2012)
  • Hungary: 1.5% (2011), 1.1% (2012)
  • Ireland: 0.3% (2011), 1.0% (2012)
  • Italy: 0.6% (2011), 0.6% (2012)
  • Latvia: 0.4% (2011), -1.3% (2012)
  • Lithuania: 0.4% (2011), -0.5% (2012)
  • Luxembourg: 0.0% (2011), 0.1% (2012)

Short-Term Interest Rates (3M)

• Baseline Scenario:

  • Austria: Euribor or similar
  • Belgium: 1.5% (2011), 1.8% (2012)
  • Bulgaria: 4.5% (2011), 4.8% (2012)
  • Cyprus: 1.5% (2011), 1.8% (2012)
  • Czech Republic: 2.0% (2011), 2.4% (2012)
  • Denmark: 1.7% (2011), 2.2% (2012)
  • Estonia: 1.5% (2011), 1.8% (2012)
  • Finland: 1.5% (2011), 1.8% (2012)
  • France: 1.5% (2011), 1.8% (2012)
  • Germany: 1.5% (2011), 1.8% (2012)
  • Greece: 5.9% (2011), 6.1% (2012)
  • Hungary: 1.5% (2011), 1.8% (2012)
  • Ireland: 1.5% (2011), 1.8% (2012)
  • Italy: 1.5% (2011), 1.8% (2012)
  • Latvia: 1.5% (2011), 1.8% (2012)
  • Lithuania: 1.5% (2011), 1.8% (2012)
  • Luxembourg: 1.5% (2011), 1.8% (2012)

• Deviation from Baseline:

  • Austria: 1.3% (2011), 1.3% (2012)
  • Belgium: 1.3% (2011), 1.3% (2012)
  • Bulgaria: 1.3% (2011), 1.3% (2012)
  • Cyprus: 1.3% (2011), 1.3% (2012)
  • Czech Republic: 1.3% (2011), 1.3% (2012)
  • Denmark: 1.3% (2011), 1.3% (2012)
  • Estonia: 1.3% (2011), 1.3% (2012)
  • Finland: 1.3% (2011), 1.3% (2012)
  • France: 1.3% (2011), 1.3% (2012)
  • Germany: 1.3% (2011), 1.3% (2012)
  • Greece: 1.3% (2011), 1.3% (2012)
  • Hungary: 1.3% (2011), 1.3% (2012)
  • Ireland: 1.3% (2011), 1.3% (2012)
  • Italy: 1.3% (2011), 1.3% (2012)
  • Latvia: 1.3% (2011), 1.3% (2012)
  • Lithuania: 1.3% (2011), 1.3% (2012)
  • Luxembourg: 1.3% (2011), 1.3% (2012)

Long-Term Interest Rates (10Y)

• Baseline Scenario:

  • Austria: Treasuries
  • Belgium: 3.1% (2011), 3.3% (2012)
  • Bulgaria: 6.3% (2011), 6.5% (2012)
  • Cyprus: 5.0% (2011), 5.2% (2012)
  • Czech Republic: 3.8% (2011), 4.0% (2012)
  • Denmark: 2.8% (2011), 3.1% (2012)
  • Estonia: 5.5% (2011), 5.7% (2012)
  • Finland: 2.9% (2011), 3.1% (2012)
  • France: 3.1% (2011), 3.3% (2012)
  • Germany: 2.7% (2011), 2.9% (2012)
  • Greece: 11.5% (2011), 11.7% (2012)
  • Hungary: 7.1% (2011), 7.1% (2012)
  • Ireland: 8.6% (2011), 8.8% (2012)
  • Italy: 4.3% (2011), 4.5% (2012)
  • Latvia: 10.4% (2011), 10.6% (2012)
  • Lithuania: 5.5% (2011), 5.7% (2012)
  • Luxembourg: 3.1% (2011), 3.3% (2012)

• Deviation from Baseline:

  • Austria: 0.2% (2011), 0.2% (2012)
  • Belgium: 0.8% (2011), 0.8% (2012)
  • Bulgaria: 0.8% (2011), 0.8% (2012)
  • Cyprus: 1.4% (2011), 1.4% (2012)
  • Czech Republic: 0.3% (2011), 0.3% (2012)
  • Denmark: 0.4% (2011), 0.4% (2012)
  • Estonia: 0.1% (2011), 0.1% (2012)
  • Finland: 0.5% (2011), 0.5% (2012)
  • France: 0.0% (2011), 0.0% (2012)
  • Germany: 2.6% (2011), 2.6% (2012)
  • Greece: 1.1% (2011), 1.1% (2012)
  • Hungary: 1.1% (2011), 1.1% (2012)
  • Ireland: 2.6% (2011), 2.6% (2012)
  • Italy: 1.4% (2011), 1.4% (2012)
  • Latvia: 0.6% (2011), 0.6% (2012)
  • Lithuania: 0.6% (2011), 0.6% (2012)
  • Luxembourg: 0.8% (2011), 0.8% (2012)

Nominal USD Exchange Rate

• Baseline Scenario:

  • Austria: N/A
  • Belgium: N/A
  • Bulgaria: N/A
  • Cyprus: N/A
  • Czech Republic: N/A
  • Denmark: N/A
  • Estonia: N/A
  • Finland: N/A
  • France: N/A
  • Germany: N/A
  • Greece: N/A
  • Hungary: N/A
  • Ireland: N/A
  • Italy: N/A
  • Latvia: N/A
  • Lithuania: N/A
  • Luxembourg: N/A

• Deviation from Baseline:

  • Austria: -0.1% (2011), -0.1% (2012)
  • Belgium: -0.1% (2011), -0.1% (2012)
  • Bulgaria: -0.1% (2011), -0.1% (2012)
  • Cyprus: -0.1% (2011), -0.1% (2012)
  • Czech Republic: -1.7% (2011), -1.7% (2012)
  • Denmark: -0.5% (2011), -0.5% (2012)
  • Estonia: -0.1% (2011), -0.1% (2012)
  • Finland: -0.1% (2011), -0.1% (2012)
  • France: -0.1% (2011), -0.1% (2012)
  • Germany: -0.1% (2011), -0.1% (2012)
  • Greece: -19.4% (2011), -19.4% (2012)
  • Hungary: -0.1% (2011), -0.1% (2012)
  • Ireland: -0.1% (2011), -0.1% (2012)
  • Italy: -0.1% (2011), -0.1% (2012)
  • Latvia: -0.1% (2011), -0.1% (2012)
  • Lithuania: -0.1% (2011), -0.1% (2012)
  • Luxembourg: -0.2% (2011), -0.2% (2012)

Inflation (Annual % Change)

• Baseline Scenario:

  • Austria: 0.7% (2011), 0.7% (2012)
  • Belgium: 0.7% (2011), 0.7% (2012)
  • Bulgaria: 1.4% (2011), 1.4% (2012)
  • Cyprus: 17.6% (2011), 17.6% (2012)
  • Czech Republic: 5.4% (2011), 5.4% (2012)
  • Denmark: 0.7% (2011), 0.7% (2012)
  • Estonia: 0.7% (2011), 0.7% (2012)
  • Finland: 0.7% (2011), 0.7% (2012)
  • France: 0.7% (2011), 0.5% (2012)
  • Germany: 0.7% (2011), 0.7% (2012)
  • Greece: 196.3% (2011), 196.3% (2012)
  • Hungary: 0.7% (2011), 0.7% (2012)
  • Ireland: 0.7% (2011), 0.7% (2012)
  • Italy: 0.7% (2011), 0.7% (2012)
  • Latvia: 0.7% (2011), 0.7% (2012)
  • Lithuania: 0.7% (2011), 0.7% (2012)
  • Luxembourg: 0.7% (2011), 0.7% (2012)

• Deviation from Baseline:

  • Austria: -0.7% (2011), -0.6% (2012)
  • Belgium: 0.0% (2011), -0.2% (2012)
  • Bulgaria: 1.1% (2011), 1.2% (2012)
  • Cyprus: -0.6% (2011), -0.6% (2012)
  • Czech Republic: -0.3% (2011), -0.3% (2012)
  • Denmark: -0.8% (2011), -0.6% (2012)
  • Estonia: -1.5% (2011), -3.1% (2012)
  • Finland: -0.3% (2011), -0.7% (2012)
  • France: -0.4% (2011), -2.1% (2012)
  • Germany: -0.5% (2011), -0.5% (2012)
  • Greece: -0.8% (2011), -0.6% (2012)
  • Hungary: -1.5% (2011), -1.1% (2012)
  • Ireland: -0.1% (2011), -0.1% (2012)
  • Italy: -0.3% (2011), -0.7% (2012)
  • Latvia: -0.9% (2011), -1.9% (2012)
  • Lithuania: -0.4% (2011), -0.7% (2012)
  • Luxembourg: -0.6% (2011), -0.6% (2012)

Commercial and Residential Property Prices (% Change from Previous Year)

• Baseline Scenario:

  • Austria: 3.0% (2011), 3.5% (2012)
  • Belgium: 1.0% (2011), 0.0% (2012)
  • Bulgaria: 0.0% (2011), 0.0% (2012)
  • Cyprus: -2.0% (2011), 0.0% (2012)
  • Czech Republic: 0.0% (2011), 1.5% (2012)
  • Denmark: 0.0% (2011), 1.5% (2012)
  • Estonia: 0.0% (2011), 0.0% (2012)
  • Finland: 0.8% (2011), 1.1% (2012)
  • France: 2.8% (2011), 3.2% (2012)
  • Germany: 0.0% (2011), 0.0% (2012)
  • Greece: -13.4% (2011), -14.4% (2012)
  • Hungary: -10.0% (2011), -10.0% (2012)
  • Ireland: -10.0% (2011), -10.0% (2012)
  • Italy: -15.1% (2011), -21.5% (2012)
  • Latvia: -10.0% (2011), -10.0% (2012)
  • Lithuania: -10.0% (2011), -10.0% (2012)
  • Luxembourg: -10.0% (2011), -10.0% (2012)

• Deviation from Baseline:

  • Austria: -13.0% (2011), -13.5% (2012)
  • Belgium: -11.3% (2011), -16.6% (2012)
  • Bulgaria: -13.3% (2011), -14.6% (2012)
  • Cyprus: -10.1% (2011), -19.3% (2012)
  • Czech Republic: -15.0% (2011), -21.3% (2012)
  • Denmark: -11.4% (2011), -10.0% (2012)
  • Estonia: -15.7% (2011), -22.7% (2012)
  • Finland: -14.1% (2011), -10.8% (2012)
  • France: -10.0% (2011), -10.0% (2012)
  • Germany: -16.3% (2011), -17.0% (2012)
  • Greece: -12.1% (2011), -12.0% (2012)
  • Hungary: -10.0% (2011), -10.0% (2012)
  • Ireland: -10.0% (2011), -10.0% (2012)
  • Italy: -10.0% (2011), -10.0% (2012)
  • Latvia: -10.0% (2011), -10.0% (2012)
  • Lithuania: -10.0% (2011), -10.0% (2012)
  • Luxembourg: -10.0% (2011), -10.0% (2012)

• Adverse Scenario:

  • Austria: -0.9% (2011), -1.9% (2012)
  • Belgium: -5.7% (2011), -8.3% (2012)
  • Bulgaria: -6.6% (2011), -7.3% (2012)
  • Cyprus: -5.0% (2011), -7.6% (2012)
  • Czech Republic: -7.5% (2011), -10.6% (2012)
  • Denmark: -5.7% (2011), -3.7% (2012)
  • Estonia: -4.3% (2011), -8.8% (2012)
  • Finland: -4.2% (2011), -13.5% (2012)
  • France: -5.7% (2011), -9.1% (2012)
  • Germany: -12.4% (2011), -4.3% (2012)
  • Greece: -17.4% (2011), -18.8% (2012)
  • Hungary: -10.0% (2011), -10.0% (2012)
  • Ireland: -10.0% (2011), -10.0% (2012)
  • Italy: -10.0% (2011), -10.0% (2012)
  • Latvia: -10.0% (2011), -10.0% (2012)
  • Lithuania: -10.0% (2011), -10.0% (2012)
  • Luxembourg: -10.0% (2011), -10.0% (2012)

Key Information and Notes

• The Baseline Scenario represents the expected economic conditions for 2011 and 2012.
• The Deviation from Baseline reflects the impact of a commercial real estate shock, where the changes in commercial property prices are assumed to be double the deviation in residential property prices, with a cap at -30%.
• The Adverse Scenario is based on the PCAR II methodology for Ireland and includes more severe impacts on property prices.
• The Notes clarify that:
  • The private consumption deflator is used for all countries except the US and Japan.
  • Baseline assumptions are provided by national supervisory authorities, and where unavailable, they are assumed to be the same as residential prices.
  • For the adverse scenario, commercial property price changes are derived by doubling the residential price deviation, with a cap at -30%.
  • Inflation data is provided for all countries, with some showing significant changes, especially in Greece and Cyprus.