Nowcasting the Greek (semi‐) deposit run: Hidden uncertainty about the future currency in a Google search

Abstract

We investigate whether Greek depositors' uncertainty about the future currency contains information for the observed acute depletion of deposits in the Greek banking system. We conduct a Nowcasting exercise using the Google search intensity for the term «Drachma» and document that higher search intensity leads to higher Total deposits outflows, which are primarily driven by outflows in Time deposits. We also find that the Google search intensity for the term «Drachma» exerts an asymmetric impact across One‐Day deposits and time deposits. In addition, the asymmetry is also present between firms' deposits and households' deposits. These findings support that ‘a flight‐to‐safety’ behaviour caused by uncertainty about the future currency accounts for the erosion of deposits in Greece.

Bank deposits and textual sentiment: When an European Central Bank president's speech is not just a speech

“…Two more closely related studies are those of Anastasiou and Drakos (2020) and Anastasiou and Drakos (2021). Specifically, Anastasiou and Drakos (2020) supported that higher Google search intensity for the term «Drachma» intensifies depositors' negative sentiment on the potential of currency risk, leading to higher total deposit outflows in Greece. Higher uncertainty in depositors' beliefs induces a “flight‐to‐safety” behavior.…”

“…We express all control variables in percentage changes. The choice of these macro‐controls mirrors both the data availability and the background theory (Anastasiou & Drakos, 2020; Finger & Hesse, 2009; Martinez‐Peria & Schmukler, 2001; Nys et al., 2015; Petropoulos et al., 2018). Table 3 provides a brief definition for each variable, its expected sign, and the source from which we obtain the data.…”

“…Many prior studies (Anastasiou and Drakos, 2020, 2021; Forssbæck, 2011; Hasan et al., 2013; Konstantakis et al., 2021; Oliveira et al., 2011), have found that depositors exhibit low sensitivity to the bank or macro‐specific fundamentals, with the effect being more prominent during crisis periods. Similarly, Hosono (2005) demonstrated that in South Korea, Malaysia, and Thailand, the sensitivity of deposit volumes to bank fundamentals declined after 1998.…”

“…One of them could be depositor sentiment. Although other types of sentiments have been explored in the deposits' literature (e.g., sentiment derived from Google searches; Anastasiou & Drakos, 2020; Anastasiou & Drakos, 2021; Konstantakis et al., 2021), we examine for first time the impact of the so‐called “textual” sentiment on depositors' behavior. This textual sentiment was derived from words steaming from the European Central Bank (ECB) President's speeches, and it is assumed to express information about the Euro area's economic and financial state (both current and future).…”

On the Construction of a Leading Indicator Based on News Headlines for Predicting Greek Deposit Outflows

“…2 In particular, we first estimate a robust linear regression model (Model 1) in which we include the one month lag of the PC variable 3 , controlling for both autocorrelation and seasonality patterns via autoregressive (AR) and moving average (MA) terms and for some additional control variables which we believe that they also have an impact on bank deposit flows. 4 Following among others Anastasiou and Drakos (2021b), the variables that we also consider as controls are defined as follows:…”