2014年-ECB欧洲央行_Risks_from_Euro_Area_Banks_Emerging_Market_Exposures_9页_405kb

Summary of D RISKS FROM EURO AREA BANKS' EMERGING MARKET EXPOSURES

Core Content

This document provides an analysis of the emerging market exposures of euro area banks, focusing on the risks associated with these exposures and the potential financial transmission channels to the euro area. It evaluates both direct and indirect impacts of emerging market (EME) volatility on the financial stability of euro area banks.

Main Points

• Emerging Market Tensions: In 2013 and 2014, EMEs experienced volatility due to factors such as the tapering of US monetary policy and political tensions in the Ukraine and Russia. These tensions led to capital outflows and exchange rate pressures, increasing financial stability risks for euro area banks.

• Direct Exposures: Euro area banks have significant direct exposures to EMEs, especially in developing Europe and LATAM & Caribbean, with Poland, the Czech Republic, Turkey, Russia, Brazil, Mexico, Chile being the top destinations.

• Risk Channels: Emerging market risks can affect euro area banks through:

  • Credit risk: Higher default rates and lower asset prices in EMEs.
  • Profitability: Reduced income from EME operations.
  • Solvency: Increased credit losses.
  • Exchange rate risk: Unhedged foreign currency exposures.
  • Interest rate risk: Rising rates in EMEs may affect variable rate loans.

• Exposure Structure:

  • Non-financial private sector dominates EME exposures (over 50% of total).
  • Public sector exposures are lower, ranging from 20% in Asia & Pacific to 30% in LATAM & Caribbean.
  • Cross-border claims are more significant in Asia & Pacific and Africa & Middle East, while local claims are more common in developing Europe and LATAM & Caribbean.

• Bank-Level Analysis:

  • Santander, BBVA, UniCredit have the largest EME exposures in nominal terms.
  • Relative to total exposures at default, 12 euro area banking groups have EME exposures exceeding 10%.
  • Relative to capital, National Bank of Greece (NBG), Erste Bank, and Raiffeisen are the most exposed.

• Profitability Impact:

  • EME operations contribute significantly to the profits of several euro area banking groups.
  • A slowdown in EME growth or financial instability could reduce income and increase credit risk for these banks.

• Macroeconomic Fundamentals:

  • The credit-to-GDP gap is used to assess whether credit growth in EMEs is excessive.
  • In most EME regions, the credit-to-GDP ratio is above its fundamental level, indicating potential financial instability.
  • The CESEE region (Central, Eastern and South-Eastern Europe) has seen a decline in the credit gap since 2009, reflecting deleveraging by foreign banks.

• Key Findings:

  • Asia & Pacific and LATAM & Caribbean are the most vulnerable emerging market regions based on the credit-to-GDP gap.
  • Russia and Turkey also show high macro-financial risks.
  • Euro area banks with exposures in these regions face higher financial stability risks.

Key Information

• Total EME Exposures (2013): Euro area banks had €1.6 trillion in foreign claims toward EMEs, representing 45% of their total foreign claims.
• Regional Breakdown:
  • Asia & Pacific: Largest growth in credit and foreign claims.
  • LATAM & Caribbean: Second-largest growth, with significant exposure from Spanish banks.
  • Developing Europe: Still a major exposure region, but with deleveraging trends.
• Country-Level Exposure:
  • Spain had the highest absolute exposure (€412 billion).
  • Austria had the highest relative exposure to GDP (57%).
• Data Sources:
  • BIS data for global, regional and country-level exposures.
  • EBA data for bank-level exposures.
  • IMF data for credit-to-GDP and macroeconomic fundamentals.

Methodology and Limitations

• Credit-to-GDP Gap:
  • Calculated using a panel regression model over 2001–2013.
  • Equation: $ c_{i,t} = \alpha_0 + \alpha_1 + \beta_1 X_{i,t} + \varepsilon_{i,t} $, where $ c_{i,t} $ is the credit-to-GDP ratio, $ \alpha_1 $ are country-specific fixed effects, and $ X_{i,t} $ includes GDP per capita, real interest rates, and inflation.
• Limitations:
  • BIS data may overstate EME exposures due to cross-border and foreign affiliate claims.
  • EBA data may understate exposures as it only includes banking book claims.
  • Exchange rate valuation effects can distort time series data.

Conclusion

Euro area banks have substantial direct exposures to EMEs, particularly in developing Europe and LATAM & Caribbean, which are key contributors to their financial stability risks. The credit-to-GDP gap indicates that many EMEs are experiencing excessive credit growth, which may lead to financial instability. The risk transmission channels from EMEs to euro area banks include credit risk, profitability loss, solvency risk, exchange rate risk, and interest rate risk. The analysis highlights that Austria, Spain, Greece, France, the Netherlands and Portugal are the most exposed euro area countries. Emerging economies in LATAM & Caribbean, Asia & Pacific, Russia and Turkey are identified as the most vulnerable.