Autor
Fecha de publicación
30-may-2023
Descripción física
28 p.
Resumen
Against the backdrop of sharp monetary policy tightening, this article studies the
links between bank deposit costs and the EURIBOR. In doing so the authors employ
an SVAR multivariate model that jointly includes deposit rates and volumes, fitted on
monthly data covering the period 2003-2019. Increases in the EURIBOR are found to
pass through to bank deposit rates in Spain, pushing up interest rates on term
deposits in particular. In turn, increases in the EURIBOR triggered shifts from sight
to term deposits. Through both mechanisms, bank deposit costs increased. The
article documents that in 2022 the pass-through from the EURIBOR to deposit rates
is falling short, relative to what would be expected according to the historical pattern
captured by model results; as a result, the increase in bank deposit costs has been
weaker than expected. To draw insights into the reasons behind this pattern, the
authors analyse several euro area economies. Correlation analyses suggest that
the impact of the EURIBOR on deposit rates and costs was weaker in banking
sectors with greater excess liquidity and higher market concentration.
Notas
Artículo de revista
Publicado en
Financial Stability Review / Banco de España, 44 (Spring 2023), p. 9-36
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