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

Michael G. Arghyrou, Maria-Dolores Gadea and Alexandros Kontonikas

Journal of International Money and Finance, 2024, vol. 140, issue C

Abstract: We use a panel of ten euro area member states to examine the link between macro/fiscal risk and private bank deposits relative to Germany. Our main findings are summarised as follows: First, the relationship between relative deposits and macro/fiscal risk factors is not stable over time. Second, the significant time variation characterizing this relationship is driven by aggregate EMU-wide macro/fiscal risk conditions. Third, relative deposits in periphery EMU countries are generally more responsive to macro/fiscal risk. Fourth, the ECB’s unconventional monetary policy moderated the effect of the global financial and European debt crises on the relationship between relative deposits and macro/fiscal risk. Our empirical findings can inform the ongoing policy debate regarding the completion of the European Banking Union.

Keywords: Private bank deposits; Macro/fiscal risk; Euro area; TVP panel (search for similar items in EconPapers)
JEL-codes: F30 F36 F45 G11 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001936

DOI: 10.1016/j.jimonfin.2023.102992

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