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

Michael G Arghyrou, Maria-Dolores Gadea and Alexandros Kontonikas

Essex Finance Centre Working Papers from University of Essex, Essex Business School

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)
Date: 2022-10-19
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-fdg and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:esy:uefcwp:33708

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