The Eurozone deposit rates' puzzle: Choosing the right benchmark
Julien Pinter
(1, 2)
,
Charles Boissel
(3)
Julien Pinter
- Fonction : Auteur
- PersonId : 990301
Résumé
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.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
The Eurozone deposit rates' puzzle: Choosing the right benchmark
|
Résumé |
en
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.
|
Auteur(s) |
Julien Pinter
1, 2
, Charles Boissel
3
1
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
2
UvA -
University of Amsterdam [Amsterdam] = Universiteit van Amsterdam
( 120654 )
- Spui 21 1012 WX Amsterdam
- Pays-Bas
3
HEC Paris -
Ecole des Hautes Etudes Commerciales
( 105633 )
- 1, rue de la Libération - 78351 Jouy en Josas cedex
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2016
|
Volume |
148
|
Page/Identifiant |
33-36
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Projet(s) ANR |
|
Mots-clés |
en
Banks, Deposit rates, Euribor, Cointegration, Panel estimates
|
DOI | 10.1016/j.econlet.2016.09.005 |
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