The Dynamic Interdependence Between Household Bank Deposits, Interest Rates and Consumer Prices in Romania
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| Pages: | 112 : 123 |
| Abstract: | This study investigates the dynamic relationship between household bank deposits, deposit interest rates and consumer prices in Romania using monthly data covering January 2007–December 2025. The empirical framework is based on a three-variable vector autoregressive (VAR) model. The variables are household term deposits in Romanian lei with an original maturity of one year or more (DEP), the average interest rate on household deposits (DOB), and the Consumer Price Index (CPI). Augmented Dickey–Fuller tests indicate that all three series are non-stationary in levels and become stationary after first differencing, supporting the use of DDEP, DDOB and DCPI in the VAR specification. Although information criteria provide different lag recommendations, residual diagnostics support a four-lag specification. The estimated model shows strong own-variable persistence, particularly for deposit interest rates. Granger causality tests identify a statistically significant unidirectional relationship from interest rates to bank deposits (χ² = 15.0125; p = 0.0047), while the reverse relationship is not statistically significant (p = 0.1139). CPI does not Granger-cause either deposits or interest rates at the 5% level. Impulse-response analysis further indicates that a positive interest-rate shock increases deposits in the short run, while inflationary shocks have smaller and less persistent effects on deposits. The results underline the relevance of interest-rate conditions for household saving behaviour while also indicating that deposit dynamics are shaped by additional macroeconomic and behavioural factors. |
| JEL classification: | C32, E21, E43, E52, G21 |
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C32, E21, E43, E52, G2
