The views and findings expressed in my research are those of my co-author(s) and myself and do not necessarily reflect the official views of the European Central Bank or the Eurosystem.
Coulier, L., & De Schryder, S. (2024). Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices. Journal of International Money and Finance, 142, 103022. https://doi.org/10.1016/j.jimonfin.2024.103022
Evaluating heterogeneous effects of housing-sector-specific macroprudential policy tools on Belgian house prices - with Selien De Schryder. Project presented on the NBB Colloquium on Household heterogeneity and policy relevance (October 2022) and the 5th ECB/IMF Macroprudential Policy and Research conference. Link to NBB Working Paper (Last update: October 2022). [R&R at Regional Science and Urban Economics]
This paper sheds more light on the heterogeneity of the effects of national macroprudential policy changes on local house price growth. More specifically, we employ an extensive dataset of Belgian municipalities containing a multitude of drivers of local house price dynamics and examine the potential heterogeneity of housing-related macroprudential policy changes driven by local characteristics related to financially constrained and high-risk households, the degree of local housing market activity, and changes in local household mortgage indebtedness. Our results point to more dampening effects of the common macroprudential policy tightenings on local house price growth rates in municipalities with more financially constrained and high-risk households. In addition, theseheterogeneous impacts are shown to depend in part on the degree of local housing market activity.
Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment - with Cosimo Pancaro and Alessio Reghezza. Projected presented at the Inauguaral conference on Challenges for Monetary Policy Transmission in a Changing World (ChaMP). Watch the presentation here. Link to ECB Working Paper (Last update: July 2024).
We match granular supervisory and credit register data to assess the implications of banks’ exposure to interest rate risk on the monetary policy transmission to bank lending supply in the euro area. We exploit the largest and swiftest increase in interest rates since the creation of the euro and find that banks with a higher exposure to interest rate risk, i.e., with a larger duration gap after accounting for hedging, curtailed corporate lending more than their peers. Ceteris paribus, greater interest rate risk entails closer supervisory scrutiny and potential capital surcharges in the short term, and lower expected profitability and capital accumulation in the medium to long term. We then proceed to dissect banks’ credit allocation and find that banks with higher net duration reshuffled their loan portfolio away from long-term loans in an attempt to limit the increase in interest rate risk and targeted their lending contraction to small and micro firms. Firms exposed to banks with a larger exposure to interest rate risk were unable to fully rebalance their borrowing needs with other lenders, thus experiencing a relatively larger decrease in total borrowing during the monetary tightening episode.
Pushing the Limit: How Borrowers Tackle the Belgian LTV limit? - with Selien De Schryder, Milan van den Heuvel and Tobias Verlaeckt. Link to UGent Working Paper (Last update: February 2026)
We study how mortgage borrowers adjust their mortgage terms and household balance sheets in response to a loan-to-value (LTV) limit. Focusing on the 2020 Belgian LTV policy, we use granular loan- and account-level data from the country’s largest bank. A substantial share of borrowers reduced their LTV ratios, with adjustment patterns varying by income, liquid wealth, and household type. Borrowers mainly responded by increasing downpayments and reducing loan amounts, though these responses were weaker among lower-income households. While the adjustments led to safer mortgages, they were also associated with declines in liquid wealth and consumption in the year following purchase.
Banking on assumptions? How banks model deposit maturities - with Cosimo Pancaro, Livia Pancotto, and Alessio Reghezza. Link to ECB Working Paper (Last update: November 2025)
How do banks manage the behavioural maturity of non-maturing deposits (NMDs)? Using a rich and confidential dataset, we investigate how banks model deposit maturities based on internal assumptions. Although NMDs are contractually floating-rate liabilities with zero maturity, banks reallocate them across different maturity buckets using models that reflect past customer behaviour. Notably, only 20% of NMDs are treated as having zero maturity, while about 10% are assigned maturities beyond seven years. We assess whether these modelling assumptions align with banks’ deposit structures. Results show that banks with more volatile, interest rate-sensitive, and digitalised deposit bases tend to assign shorter maturities, appropriately reflecting underlying risks. However, during the recent monetary policy tightening, banks with more sensitive NMDs did not shorten assumed maturities or update models. These findings underscore the critical importance of timely and accurate calibration of NMD assumptions to support effective asset-liability management and preserve financial stability.
Banking on the income gap: Its lending and real effects when interest rate rise - with Stijn Claessens, Cosimo Pancaro, and Alessio Reghezza