The Eurozone deposit rates' puzzle: choosing the right benchmark - HAL Accéder directement au contenu
Autre publication scientifique Année : 2016

The Eurozone deposit rates' puzzle: choosing the right benchmark

Résumé

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.
Fichier principal
Vignette du fichier
16053.pdf ( 1.36 Mo ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-01379284, version 1 (11-10-2016)

Identifiants

  • HAL Id : halshs-01379284 , version 1

Citer

Julien Pinter, Charles Boissel. The Eurozone deposit rates' puzzle: choosing the right benchmark. 2016. ⟨halshs-01379284⟩
98 Consultations
243 Téléchargements
Dernière date de mise à jour le 05/05/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus