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Nowcasting the Greek (semi‐) deposit run: Hidden uncertainty about the future currency in a Google search

Dimitris Anastasiou () and Konstantinos Drakos ()

International Journal of Finance & Economics, 2021, vol. 26, issue 1, 1133-1150

Abstract: We investigate whether Greek depositors' uncertainty about the future currency contains information for the observed acute depletion of deposits in the Greek banking system. We conduct a Nowcasting exercise using the Google search intensity for the term «Drachma» and document that higher search intensity leads to higher Total deposits outflows, which are primarily driven by outflows in Time deposits. We also find that the Google search intensity for the term «Drachma» exerts an asymmetric impact across One‐Day deposits and time deposits. In addition, the asymmetry is also present between firms' deposits and households' deposits. These findings support that ‘a flight‐to‐safety’ behaviour caused by uncertainty about the future currency accounts for the erosion of deposits in Greece.

Date: 2021
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International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

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