2025-05-20-欧洲央行-银行贷款利率与欧元区家庭贷款风险（英）_29页_1mb

The paper analyses the impact of increased bank lending rates on the riskiness of euro area household loans. It introduces a novel microsimulation framework that updates household-level data from the 2020-2021 HFCS survey with recent macroeconomic and financial data. The framework includes dynamic mortgage issuance and repayment, budget constraints, and macroprudential measures.

Key findings show that rising lending rates have negatively affected debt servicing, particularly for adjustable-rate mortgages (ARMs). ARM DSTI increased by 6 percentage points, with a higher share of loans exceeding a 40% DSTI threshold. The riskiest loans among ARMs are those issued most recently, due to the French loan convention, which increases interest sensitivity in early years. ARMs and consumer credit also show higher distress rates. Despite higher debt burdens, collateral coverage remains strong, with over 90% of loans secured by real estate.

The study underscores the importance of microsimulation for analysing household financial vulnerabilities and stress testing the effects of monetary tightening and macroprudential policies.