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

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

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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:journl:halshs-01388502

DOI: 10.1016/j.econlet.2016.09.005

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