PUBLICATION
4 December 2025
Artificial intelligence and systemic risk
How does AI interact with systemic risk and what are the right policy responses? These are some of the questions the Advisory Scientific Committee of the European Systemic Risk Board explores in its latest report.
Read the press release on the new ESRB report
ACCOUNTABILITY
3 December 2025
Hearing on digital assets
Francesco Mazzaferro, Head of the ESRB Secretariat, spoke before the European Parliament’s ECON Committee about digital assets.
Read his introductory statement
PRESS RELEASE
27 November 2025
60th meeting of the ESRB General Board
At its meeting on 20 November, the General Board assessed the main risks to EU financial stability.
Read the press release- 4 December 2025
- PRESS RELEASE
- 3 December 2025
- SPEECHSpeech by Christine Lagarde, Chair of the European Systemic Risk Board, at the Hearing at the Committee on Economic and Monetary Affairs of the European Parliament
- 3 December 2025
- SPEECHSpeech by Francesco Mazzaferro, Head of the ESRB Secretariat, at the Exchange of views of the Committee on Economic and Monetary Affairs of the European Parliament
- 27 November 2025
- PRESS RELEASE
- 4 November 2025
- PRESS RELEASE
- 4 December 2025
- ADVISORY SCIENTIFIC COMMITTEE REPORT - No. 16
- 27 November 2025
- RISK DASHBOARDAnnexes
- 27 November 2025
- RISK DASHBOARD
- 27 November 2025
- RISK DASHBOARD
- 17 November 2025
- WORKING PAPER SERIES - No. 153Details
- Abstract
- This study sheds light on the impact of digitalisation and social media on deposit flows and rates of euro area banks during the recent period of monetary tightening. Drawing on difference-in-differences analysis of confidential monthly data (12/2019 –10/2023) of deposit flows and rates as well as measures of bank digitalisation and social media exposure through Twitter sentiment, the study offers two novel sets of findings. First, banks with a higher degree of digitalisation exhibit larger fluctuations in deposits, with higher inflows from mid-2020 to early 2022 but greater outflows in response to the tightening. Digitalisation is also correlated with higher sensitivity of banks’ NFC deposit rates to policy rates. Second, a negative Twitter sentiment reduces deposit inflows, even after accounting for traditional news’ sentiment and a comprehensive set of bank-specific factors, including asset prices and performance indicators.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
- 4 November 2025
- REPORTS
- 3 November 2025
- WORKING PAPER SERIES - No. 152Details
- Abstract
- This paper identifies price dislocation events in EuroSTOXX 50 futures, i.e., periods marked by high absolute returns. Combining public limit order book data with confidential trade repository data collected under the European Market Infrastructure Regulation (EMIR), we analyze market conditions around such dislocations. We find that price dislocations are accompanied by an increase in trading volume, and in the number of trades. EMIR data enables us to identify who participates in these trades, which allows us to tell if the volume increase is driven by fewer investors trading more, i.e., a more concentrated market, or by more investors participating. The latter could be argued to be a sign of a resilient market. We find evidence in support of such resilience, because the Herfindahl-Hirschman Index declines, both on the liquidity-demand and the liquidity-supply side. Our results further show that, contemporaneously, public order book variables explain most of the price dislocation events; adding private EMIR data contributes relatively little. We further find that predicting price dislocations is extremely hard, even after adding private EMIR data to public order book data.
- JEL Code
- G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G18 : Financial Economics→General Financial Markets→Government Policy and Regulation
- 20 October 2025
- REPORTS
- 2 October 2025
- RISK DASHBOARDAnnexes
- 2 October 2025
- RISK DASHBOARD
- 2 October 2025
- RISK DASHBOARD
- 1 September 2025
- NBFI MONITOR REPORT
- 15 August 2025
- OCCASIONAL PAPER SERIES - No. 27Details
- Abstract
- Andersen and Sánchez Serrano (2024) define a methodology for building a map of the euro area financial system using data from the quarterly sectoral accounts of the euro area (complemented with data from other sources). This map can be useful for macroprudential authorities in regularly monitoring interconnections, contagion channels and systemic risk dynamics. We develop three extensions to the map that should increase its relevance: (i) the use of euro area Distributional Wealth Accounts to consider households according to their wealth; (ii) a breakdown of the other financial institutions sector into other financial intermediaries, financial auxiliaries, and captive financial institutions and money lenders; and (iii) using international investment position data to compute exposures to the rest of the world by country. In addition to the series codes on the ECB Data Portal to retrieve the relevant data, we illustrate the potential analytical application of each of the three extensions. In a nutshell, our analysis of the euro area household sector according to wealth shows that the aggregate figures conceal significant heterogeneity. Using data from the quarterly sectoral accounts, we are able to gain a clearer overview of other financial institutions, identifying the links with banks through securitisation vehicles and with non-financial corporations through captive financial institutions. Finally, although we cannot match exactly all the financial instruments in the balance sheet, data on the institutional investment position shows, among others, a continuous increase in the portfolio investments of euro area residents in the United States since 2013.
- JEL Code
- F30 : International Economics→International Finance→General
G20 : Financial Economics→Financial Institutions and Services→General
G50 : Financial Economics
- 15 July 2025
- ANNUAL REPORTEnglishOTHER LANGUAGES (23) +
- 3 July 2025
- RISK DASHBOARDAnnexes
- 3 July 2025
- RISK DASHBOARD
- 3 July 2025
- RISK DASHBOARD
- 16 June 2025
- WORKING PAPER SERIES - No. 151Details
- Abstract
- This paper examines how the ECB’s 2022–2023 interest-rate hikes affected euro-area banks’ economic net worth and vulnerability to deposit runs. Drawing on granular, confidential data for 139 banks, we estimate each bank’s economic net worth and find that unrealised losses on loans and bonds averaged around 30 per cent of equity. By September 2023, however, roughly half of these losses had been offset by gains from the deposit franchise and interest-rate swaps. We develop a theoretical framework linking banks’ economic net worth and deposit-rate setting to depositor behaviour and run incentives. Further results indicate that banks with larger unrealised losses raised their deposit rates by less - a pattern we interpret as banks leveraging a more valuable deposit franchise to fund longer-duration assets. Although euro-area banks as a whole avoided widespread runs, several institutions nonetheless carried substantial mark-to-market losses, suggesting latent fragilities.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
- 12 May 2025
- ASC INSIGHT - No. 4
- 5 May 2025
- REPORTS
- 3 April 2025
- RISK DASHBOARDAnnexes
- 3 April 2025
- RISK DASHBOARD
- 3 April 2025
- RISK DASHBOARD
- 3 February 2025
- REPORTS
- 31 January 2025
- REPORTS
- 2 January 2025
- WORKING PAPER SERIES - No. 150Details
- Abstract
- Using supervisory data of alternative investment funds investing in bonds, I exploit the COVID-19 crisis to examine the effectiveness of redemption restrictions. First, I find that redemption restrictions reduced outflows during the March 2020 market turmoil, but did not result in higher outflows in the periods following the crisis episode. Second, I find that funds with higher redemption restrictions engaged less in procyclical cash hoarding during the COVID-19 crisis period, even after controlling for the size of their outflows. Third, I find that redemption restrictions do not have a significant impact on the sensitivity of investor inflows to good performance, but they significantly reduce the sensitivity of outflows to bad performance. These findings suggest that redemption restrictions can mitigate fragility in open-ended investment funds.
- JEL Code
- G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G15 : Financial Economics→General Financial Markets→International Financial Markets
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
- 2 January 2025
- WORKING PAPER SERIES - No. 149Details
- Abstract
- Exchange-traded funds (ETFs) are typically considered to be passive investment vehicles designed to track a benchmark index. However, with the promulgation of the Securities and Exchange Commission’s 2019 ETF Rule, funds are permitted the use of custom creation/redemption baskets. This change effectively enables a form of active basket management during the ETF’s arbitrage process. In this paper, I show that the uptake of custom baskets has heterogeneous effects on the microstructure of corporate bond ETFs. While custom baskets enhance the liquidity transformation of bond ETFs, this comes at a cost, as they concurrently produce larger index tracking errors. To isolate these effects empirically, I exploit the 2019 ETF Rule as a quasi-natural experiment. My findings substantiate the presence of a trade-off between liquidity enhancement and tracking error minimization, and underscore the role of custom baskets as contributors to this trade-off.
- JEL Code
- G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G18 : Financial Economics→General Financial Markets→Government Policy and Regulation
D47 : Microeconomics→Market Structure and Pricing→Market Design
- 18 December 2024
- REPORTS
- 5 December 2024
- RISK DASHBOARDAnnexes
- 5 December 2024
- RISK DASHBOARD
- 5 December 2024
- RISK DASHBOARD
- 4 December 2024
- REPORTS
- 4 November 2024
- WORKING PAPER SERIES - No. 148Details
- Abstract
- Over the past decade, European investment funds have substantially increased their investment in dollar-denominated assets to more than 3.8 USD trillion, which should give raise to substantial currency hedging if US investor have reciprocal currency exposures in their international portfolios. Using comprehensive new contract level data (EMIR) for the period 2019-2023, we explore how the FX derivative trading by European funds compares to a feasible theoretical benchmark of optimal hedging. We find that hedging behaviour by all fund types is often partial, unitary (i.e., with a single currency focus), and sub-optimal. Overall, the observed FX derivative trading does not significantly reduce the return risk of the average European investment funds, even though optimal hedging strategies could without incurring substantial trading costs.
- JEL Code
- E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
F31 : International Economics→International Finance→Foreign Exchange
F32 : International Economics→International Finance→Current Account Adjustment, Short-Term Capital Movements
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G15 : Financial Economics→General Financial Markets→International Financial Markets
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
- 4 October 2024
- RISK DASHBOARDAnnexes
- 4 October 2024
- RISK DASHBOARD
- 4 October 2024
- RISK DASHBOARD
- 29 August 2024
- ADVISORY SCIENTIFIC COMMITTEE REPORT - No. 15
- 20 October 2025
- RECOMMENDATIONSEnglishOTHER LANGUAGES (23) +
- 15 September 2025
- RESPONSES AND LETTERS
- 8 September 2025
- RESPONSES AND LETTERS
- 25 July 2025
- RESPONSES AND LETTERS
- 25 July 2025
- RESPONSES AND LETTERS
- 30 June 2025
- OPINIONSAnnexes
- 30 June 2025
- OPINIONS
- 30 June 2025
- OPINIONS
- 30 June 2025
- OPINIONSAnnexes
- 30 June 2025
- OPINIONS
- 30 June 2025
- OPINIONS
- 27 June 2025
- RECOMMENDATIONS
- 17 June 2025
- OPINIONS
- 6 June 2025
- RESPONSES AND LETTERS
- 22 April 2025
- RESPONSES AND LETTERS
- 7 April 2025
- STRESS TESTINGAnnexes
- 7 April 2025
- STRESS TESTING
- 7 April 2025
- STRESS TESTING
- 28 February 2025
- STRESS TESTINGAnnexes
- 20 January 2025
- STRESS TESTINGAnnexes
- 28 February 2025
- STRESS TESTING
- 28 February 2025
- STRESS TESTING
- 20 January 2025
- STRESS TESTING
- 12 February 2025
- STRESS TESTING
- 28 February 2025
- STRESS TESTING
- 27 January 2025
- RESPONSES AND LETTERS
- 7 January 2025
- STRESS TESTINGAnnexes
- 7 January 2025
- STRESS TESTING
- 7 January 2025
- STRESS TESTING
- 20 December 2024
- RESPONSES AND LETTERS
- 4 December 2024
- OPINIONS
- 19 November 2024
- STRESS TESTING
- 28 October 2024
- OPINIONSAnnexes
- 28 October 2024
- OPINIONS
- 2 September 2024
- RESPONSES AND LETTERS
- 17 September 2025
- 29 July 2025
- 27 June 2025
- 20 June 2025
- 18 June 2025
- 6 June 2025
- 20 April 2025
- 25 March 2025
- 19 March 2025
- 26 February 2025
- 31 January 2025
- 9 January 2025
- 31 December 2024
- 31 December 2024
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- 23 December 2024
- 20 December 2024
- 20 December 2024
- 12 December 2024
- 11 December 2024
- 6 December 2024
- 6 December 2024
- 6 December 2024
- 6 December 2024
- 6 December 2024
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