The Eurozone deposit rates' puzzle: choosing the right benchmark

Julien Pinter and Charles Boissel ()
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Charles Boissel: HEC Paris - Ecole des Hautes Etudes Commerciales

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The paper proposes an alternative benchmark to the EURIBOR to analyze the post-crisis puzzling behavior of deposit rates in the Eurozone. Using bank-level CDS data for 6 major euro-countries, we build a simple country-level index for banks' cost of unsecured funding. The use of this index instead of the traditionally used EURIBOR restores the cointegration relationship between deposit rates and their reckoned opportunity cost. It also suggests that deposits have actually not been significantly over-remunerated in most euro area countries since the financial crisis, in contrast with what is often argued. Our index appears as a good alternative to the EURIBOR, which we show has become irrelevant for many countries.

Keywords: banks; panel estimates; cointegration; deposit rates; euribor (search for similar items in EconPapers)
Date: 2016-08
New Economics Papers: this item is included in nep-ban and nep-eec
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01379284v1
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Published in 2016

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Related works:
Journal Article: The Eurozone deposit rates’ puzzle: Choosing the right benchmark (2016)
Working Paper: The Eurozone deposit rates' puzzle: Choosing the right benchmark (2016)
Working Paper: The Eurozone deposit rates' puzzle: choosing the right benchmark (2016)
Working Paper: The Eurozone deposit rates' puzzle: Choosing the right benchmark (2016)
Working Paper: The Eurozone deposit rates' puzzle: choosing the right benchmark (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01379284

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