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Private bank deposits and macro/fiscal risk in the euro-area

Author

Listed:
  • Arghyrou, Michael G
  • Gadea, Maria-Dolores
  • Kontonikas, Alexandros

Abstract

We use a panel of ten euro area member states to examine the link between macro/fiscal risk and private bank deposits relative to Germany. Our main findings are summarised as follows: First, the relationship between relative deposits and macro/fiscal risk factors is not stable over time. Second, the significant time variation characterizing this relationship is driven by aggregate EMU-wide macro/fiscal risk conditions. Third, relative deposits in periphery EMU countries are generally more responsive to macro/fiscal risk. Fourth, the ECB’s unconventional monetary policy moderated the effect of the global financial and European debt crises on the relationship between relative deposits and macro/fiscal risk. Our empirical findings can inform the ongoing policy debate regarding the completion of the European Banking Union.

Suggested Citation

  • Arghyrou, Michael G & Gadea, Maria-Dolores & Kontonikas, Alexandros, 2022. "Private bank deposits and macro/fiscal risk in the euro-area," Essex Finance Centre Working Papers 33708, University of Essex, Essex Business School.
    • Handle: RePEc:esy:uefcwp:33708
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    File URL: https://repository.essex.ac.uk/33708/
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    Keywords

    Private bank deposits; macro/fiscal risk; euro area; TVP panel;
    All these keywords.

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