2014
Sovereign risk and the relationship between deposit rates and deposit holdings in the euro area
Publication
Publication
Applied Financial Economics , Volume 24 - Issue 15 p. 1043- 1049
This article employs panel cointegration techniques to explore the impact of the euro crisis on the relationship between deposit rates and deposit holdings in the euro area. For the period prior to the crisis, no significant relationship between these variables can be established. In contrast, since the Lehman collapse, we find a significant negative relationship between bank deposit rates and the amount of deposits. This finding suggests that a reduction in depositor confidence is one of the channels through which sovereign tensions in the euro area have increased financial fragmentation in the euro area and have further reduced the banks' ability to support an economic recovery in countries with weak sovereigns.
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doi.org/10.1080/09603107.2014.923232, hdl.handle.net/1765/90216 | |
ERIM Top-Core Articles | |
Applied Financial Economics | |
Organisation | Erasmus School of Economics |
Arnold, I., & van Ewijk, S. (2014). Sovereign risk and the relationship between deposit rates and deposit holdings in the euro area. Applied Financial Economics, 24(15), 1043–1049. doi:10.1080/09603107.2014.923232 |