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El Banco de España utiliza distintos modelos de carácter microeconómico, mayoritariamente de naturaleza empírica, para sustentar su toma de decisiones en relación con el análisis de los riesgos económicos y financieros y del asesoramiento de la política económica. Esta familia de modelos, que complementan a los de corte macroeconómico, busca identificar el impacto potencialmente heterogéneo sobre distintos grupos de agentes de determinados escenarios económico-financieros o de políticas públicas. Este análisis se extiende a múltiples áreas: estudio del comportamiento de hogares y empresas no financieras, calificación crediticia interna de empresas, estudio de la demanda y oferta de crédito bancario, realización de pruebas de resistencia bancarias top-down, proceso de revisión y evaluación supervisora (PRES) y estudio de los intermediarios financieros no bancarios. El documento muestra la aplicación de estos modelos en el análisis de dos eventos de crisis recientes: los inicios de la pandemia de COVID-19 y de la invasión rusa de Ucrania, ilustrando su utilidad práctica y la necesidad de un desarrollo y adaptación continua de los mismos.

The Working Paper Series seeks to disseminate original research in economics and fi nance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem. The Banco de España disseminates its main reports and most of its publications via the INTERNET at the following website: http://www.bde.es. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.

Rationale. To analyse, owing to their macroeconomic implications, the conditions and volume of funding raised by households and firms and to quantify the credit risk taken on by deposit institutions via loans to these two sectors. Takeaways. • Financing conditions continued to tighten in the second half of 2022 and the transmission of market rate rises to the cost of lending accelerated. This has led to a decrease in the flow of new funding. • The bank loan stock to the resident private sector in 2022 Q3 saw a slight decrease compared with the same quarter in recent years, mainly owing to trends in the stock of loans to business activities. Non-performing and Stage 2 loans continued to decline, except in some portfolios, such as those with ICO-backed loans. • Exposures to the energy sector have a limited weight in the bank credit business in Spain, although their quality has worsened throughout 2022 and somewhat tighter credit standards have been observed.

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The growth in the interest rates paid on Spanish public debt since 2008 and the impairment of the interbank market have generated concerns about their effects on competition for bank deposits in Spain. I combine a nested logit model of bank deposit supply with a structural model of competition to measure the impact of the reference interest rates on public debt and interbank markets on the returns on deposits and funding policy of Spanish banks in the period 2003-2010. The interbank rate is found to be more closely correlated with the return on deposits than the interest rate on public debt, but the connection between interbank rates and deposit returns is signifi cantly weaker in the crisis period 2008-2010. Counterfactual analysis shows a signifi cant effect of the interbank rate and investment opportunities in public debt on deposit rates and bank profi ts, and that observed deposit rates are on average 115bp above collusive levels.