OeNB Bulletin Q1/25

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• OeNB Bulletin Q1/25 (PDF, 8,6 MB) März 2025

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• Firm characteristics and bank loan distribution: Who borrows in Austria? (PDF, 6 MB) Hirsch, Riedl, Trappl. Aggregate data highlight the significant role of bank loans in financing Austrian nonfinancial companies, with bank lending playing a more prominent role than in other euro area countries. However, until now, there has been no detailed analysis of the prevalence of bank loans at the firm level or on how borrowers differ from companies without bank loans. Utilizing the OeNB’s novel Integrated Firm-level Database (IFLD), this study provides the first analysis of the allocation of bank loans among Austrian nonfinancial companies, allowing us to examine the characteristics of bank-financed firms. Our findings reveal that approximately one-third of Austrian firms have loans from Austrian banks, with the prevalence of bank loans positively associated with firm size and tangible assets but negatively related to profitability. Furthermore, the distribution of bank loans among borrowers shows a high concentration among a small number of large firms. Despite this fact, the share of loans in total liabilities remains generally stable across size classes, ranging from 50% to 60%, except among the largest firms, which tend to rely more heavily on alternative financing sources, such as bonds. These insights lay the groundwork for understanding the reliance of Austrian firms on bank debt, offering valuable insights for monetary and macroprudential policy. en bank loan distribution, nonfinancial companies, firm size and financing, Austria G21, G32, E44, D22, L25 13.03.2025, 00:00:00

• Conditional dynamics of monetary policy shocks: the mitigating role of macroprudential policy in CESEE (PDF, 6,6 MB) De Luigi, Eller, Stelzer. This study examines the economic effects of monetary policy (short-term interest rate shocks) and its interaction with macroprudential policy in 11 EU member states of Central, Eastern and Southeastern Europe (CESEE) over the period from 2000 to 2019. Employing a smooth transition vector autoregressive model, we assess how the impacts of interest rate shocks vary with the intensity of macroprudential policies and across different exchange rate regimes. We find that in countries with flexible exchange rates, monetary policy tightening tends to persist longer and is often offset by easing macroprudential measures, particularly when these policies are already stringent. This pattern is less evident in countries with fixed exchange rates, where interest rate shocks do not always represent independent monetary policy actions. Overall, muted macrofinancial responses across the sample suggest that macroprudential measures may counterbalance the effect of monetary policy (interest rate) shocks and that traditional monetary tools have been less effective in the latter half of our sample period. These results highlight the importance of incorporating macroprudential indicators into monetary policy analysis and contribute to discussions on policy coordination, offering insights to help optimize policy mixes to enhance economic resilience. en monetary policy, macroprudential policy, smooth transition VAR, CESEE C32, E52, E61, G28 27.03.2025, 00:00:00

• How do euro deposits in CESEE react to exchange rate shocks? (PDF, 6,5 MB) Petz, Scheiber, Wörz. In this paper, we investigate the effects of unanticipated exchange rate movements on euro deposits in selected Central, Eastern and Southeastern European (CESEE) economies that are characterized by considerable deposit euroization and flexible exchange rate regimes. In doing so, we examine household deposits and deposits of nonfinancial corporations (NFCs) separately. Our empirical approach involves a two-step process. First, we estimate country-specific vector autoregressive (VAR) models, identify structural shocks using sign restrictions and then compute impulse response functions to an exogenous exchange rate shock. We find that both households’ and NFCs’ euro deposits decrease in response to an exogenous domestic currency appreciation, with the effect being more pronounced on NFCs. Second, we use country-specific time-varying parameter regressions to estimate the time-varying sensitivity of euro deposits to the identified exchange rate shocks. Results vary significantly across countries, sectors and time periods. In general, our findings indicate that the euro deposits of NFCs are more sensitive to exchange rate shocks than those of households. Moreover, the sensitivity of NFC deposits exhibits greater time variation, suggesting that NFCs are more responsive to changing economic conditions than households. en deposit euroization, exchange rate shocks, vector autoregression, time-varying parameter regression, Bayesian estimation C32, E41, F31, F41 31.03.2025, 00:00:00