Private bank deposits and macro/fiscal risk in the euro-area
基于十个欧元区国家的面板数据，研究私人银行存款（相对于德国）与宏观/财政风险的关系，发现该关系随时间变化，且受欧元区整体风险条件驱动，边缘国家存款对风险更敏感，欧洲央行货币政策缓解了危机影响。
• We use a panel of ten euro area member states to model private bank deposits, relative to Germany, on macro/fiscal risk factors. • We find that the relationship between deposits and macro/fiscal risk factors is not stable over time. • The time variation characterizing this relationship is driven by aggregate (EMU wide) macro/fiscal risk conditions. • Deposits in periphery EMU countries are generally more exposed to macro/fiscal risk. • National banking systems are potentially subject to bank stability risks significantly moderated by the ECB monetary policy. 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.