Private bank deposits and macro/fiscal risk in the euro-area

Michael Arghyrou and María Gadea ()

No 7532, CESifo Working Paper Series from CESifo

Abstract: We examine the relationship between private bank deposits and macro/fiscal risk in the euro area. We test three hypotheses: First, private bank deposits relative to Germany are determined by macro/fiscal risk factors. Second, this relationship is time-varying. Third, time-variation is driven by the level of macro/fiscal risk. Our findings validate all three tested hypotheses. They also reveal persistent fragmentation between EMU core and periphery banking systems caused by a deficit of trust in periphery banking systems, unmitigated by the introduction of OMT and European Banking Union. Our findings have implications for the introduction of the European Deposits Insurance Scheme (EDIS), for which they offer tentative support.

Keywords: private bank deposits; macro; fiscal risk; Eurozone; TVP panel; fragmentation (search for similar items in EconPapers)
JEL-codes: F30 F36 F45 G11 G15 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp7532.pdf (application/pdf)

Related works:
Working Paper: Private bank deposits and macro/fiscal risk in the euro-area (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7532

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().