The Eurozone deposit rates' puzzle: choosing the right benchmark

Julien Pinter and Charles Boissel ()
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Charles Boissel: Paris HEC, https://sites.google.com/site/boisselcharles/

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: deposit rates; euribor; cointegration; panel estimates; banks (search for similar items in EconPapers)
JEL-codes: E43 E50 G10 G21 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-08
New Economics Papers: this item is included in nep-ban, nep-eec and nep-mac
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Citations: View citations in EconPapers (1)

Published in Economics Letters, Elsevier, vol 148, pages 33-36

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2016/16053.pdf (application/pdf)
https://www.sciencedirect.com/science/article/pii/S0165176516303536

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:mse:cesdoc:16053

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