The Eurozone deposit rates' puzzle: Choosing the right benchmark

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

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

Abstract: This 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 Eurozone 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 to what is often argued.

Keywords: Banks; Deposit rates; Euribor; Cointegration; Panel estimates (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Economics Letters, 2016, 148, pp.33-36. ⟨10.1016/j.econlet.2016.09.005⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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)
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:hal:cesptp:halshs-01388502

DOI: 10.1016/j.econlet.2016.09.005

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().