Interest rate and deposit run risk: New evidence from euro area banks in the 2022-2023 tightening cycle
Rising interest rates expose the interaction between hidden losses on long-duration assets and flighty uninsured deposits. This column uses confidential data for 139 euro area banks to analyse this mechanism. It estimates that unrealised losses on loans and bonds held at amortised cost averaged about 30% by September 2023, and were largest for smaller retail […]