期刊
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
卷 140, 期 -, 页码 -出版社
ELSEVIER SCI LTD
DOI: 10.1016/j.jimonfin.2023.102992
关键词
Private bank deposits Macro/fiscal risk Euro area TVP panel
The study examines the relationship between macro/fiscal risk and private bank deposits relative to Germany using a panel of ten euro area member states. The findings show that this relationship is not stable over time and is influenced by the overall macro/fiscal risk conditions in the euro area. Deposits in periphery EMU countries are more responsive to macro/fiscal risk, and the unconventional monetary policy of the ECB has moderated the effect of global financial and European debt crises on the relationship between deposits and macro/fiscal risk.
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 EMUwide 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.
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