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Pressure on interest rates on deposits in Croatia: government bonds or European Central Bank?
Lucija Rašić* 
Noa Hinger*
Noa Hinger
Affiliation: Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia
 0009-0004-2667-6962
Article | Year: 2025 | Pages: 45 - 59 | Volume: 49 | Issue: 1 Received: June 1, 2024 | Accepted: October 30, 2024 | Published online: March 10, 2025
|
FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
Source: Authors’ based on EMMI data.
Source: Authors’ based on Eurostat data.
|
Country
|
Share
in PC1
|
Country
|
Share
in PC2
|
|
Spain
|
6.10
|
Estonia
|
11.55
|
|
Italy
|
5.99
|
Luxembourg
|
9.58
|
|
France
|
5.97
|
Lithuania
|
7.99
|
|
Germany
|
5.97
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Austria
|
7.37
|
|
Slovenia
|
5.91
|
Greece
|
7.00
|
|
|
D1
(government bonds)
|
D2
(ECB)
|
|
Model 1
|
3/2023-7/2024
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1/2023-7/2024
|
|
Model 2
|
3/2023
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1/2023-7/2024
|
|
Model 3
|
10/2023
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1/2023-7/2024
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Note: Table columns represent periods (month/year) in which each dummy variable in the model assumes the value 1 (implying the value 0 in all other columns). Source: Authors’ own specification.
|
|
Model
1
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Model
2
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Model
3
|
|
Variable
|
Coefficient
|
p-value
|
Coefficient
|
p-value
|
Coefficient
|
p-value
|
|
constant
|
-0.039
|
0.000***
|
-0.037
|
0.000***
|
-0.037
|
0.000***
|
|
D1
|
0.106
|
0.001***
|
-0.020
|
0.646
|
0.002
|
0.962
|
|
D2
|
0.044
|
0.166
|
0.140
|
0.000***
|
0.139
|
0.000***
|
|
PC1
|
-0.007
|
0.756
|
-0.008
|
0.746
|
-0.007
|
0.769
|
|
PC2
|
-0.057
|
0.017**
|
-0.062
|
0.012**
|
-0.062
|
0.013**
|
|
credits
|
0.002
|
0.010**
|
0.001
|
0.038**
|
0.001
|
0.042**
|
Note: *** p<0.01, **p<0.05, *p<0.1. Source: Authors’ calculations.
|
|
Model
1
|
Model
2
|
Model
3
|
|
Variable
|
Coefficient
|
p-value
|
Coefficient
|
p-value
|
Coefficient
|
p-value
|
|
constant
|
-0.077
|
0.000***
|
-0.078
|
0.000***
|
-0.078
|
0.000***
|
|
D1
|
0.100
|
0.001***
|
-0.009
|
0.820
|
-0.025
|
0.539
|
|
D2
|
0.012
|
0.664
|
0.100
|
0.000***
|
0.100
|
0.000***
|
|
euro area
|
0.167
|
0.000***
|
0.178
|
0.000***
|
0.180
|
0.000***
|
|
credits
|
0.004
|
0.000***
|
0.004
|
0.000***
|
0.004
|
0.000***
|
Note: *** p<0.01, **p<0.05, *p<0.1. Source: Authors’ calculations.
Fernández, J. A., 2024. Banking systems in the euro zone and transmission of monetary policy. Central Bank Review, 24(1), 100148 [ CrossRef]
Gennaioli, N., Martin, A and Rossi, S., 2018. Banks, government Bonds and Default: What do the data Say? Journal of Monetary Economics, 98, pp. 98-113 [ CrossRef]
Grigorian, D. aand Manole, V., 2016. Sovereign risk and deposit dynamics: evidence from Europe. Applied Economics, 49(29), pp. 2851-2860 [ CrossRef]
Hair, J. F. [et al.], 2019. Multivariate Data Analysis. London: Pearson Prentice.
Hotelling, H., 1933. Analysis of a complex of statistical variables into principal components. Journal of Educational Psychology, 24(6), pp. 417-441 [ CrossRef]
Johnson, R. A. and Wichern, D. W., 2013. Applied Multivariate Statistical Analysis: Pearson New International Edition. London: Pearson Education.
Leko, V. and Stojanović, A., 2018. Financijske institucije i tržišta. Zagreb: University of Zagreb Faculty of Economics and Business.
Mourao, P. R. and Stawska, J. M., 2020. Governments as bankers – how European bonds have substituted bank deposits. Applied Economics, 52(42), pp. 4605-4620 [ CrossRef]
Orsag, S., 2011. Vrijednosni papiri: Investicije i instrumenti financiranja. Sarajevo: Revicon.
Pearson, K., 1901. LIII. On lines and planes of closest fit to systems of points in space. The London, Edinburgh, and Dublin Philosophical Magazine and Journal of Science, 2(11), 559-572 [ CrossRef]
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March, 2025
I/2025
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