注意应用程序：欧洲存款对数字化有反应吗？

Mind the App: do European depositsreact to digitalisation? Luisa Fascione, Juan Ignacio Jacoubian,Beatrice Scheubel, Livio Stracca,Nadya Wildmann Disclaimer:This paper should not be reported as representing the views of the European Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract The March 2023 banking turmoil has intensified discussions whether social mediaand the digitalisation of finance have become significant factors in driving severedeposit outflows. We introduce the concept ofdeposits-at-riskand utilize quantileregressions for disentangling determinants of stressed outflows at the lowest tail ofthe distribution. For a sample of large banks directly supervised by the ECB, ourfindings indicate that an increased use of online banking services leads to a smallamplification of extreme deposit outflows, but this effect is not further exacerbatedby the availability of a mobile banking app. Online banking use and availability of amobile app do not have a causal effect on deposit volatility in normal times. Finally,social media are impactful only in idiosyncratic cases. JEL classification: G20, G21, G28. Keywords: liquidity risk, deposit outflows, bank runs, banking regulation. 0Non-technical summary This paper investigates the impact of digitalisation and social media on deposit flows,particularly during periods of financial stress. The March 2023 banking turmoil, includingthe case of Silicon Valley Bank, highlighted how digital financial services and rapidnews dissemination through platforms like X (formerly Twitter) can accelerate depositoutflows. Using a sample of large banks directly supervised by the European CentralBank (ECB), we leverage on granular supervisory data, web-scraped information onmobile app usage, Eurostat data on online banking penetration, and Bloomberg socialmedia sentiment data. Our study contributes to the literature by providing a Europeanperspective, complementing prior research focused on the U.S., such as Koont et al. (2024)and Erel et al. (2023). We introduce the concept of ”deposits-at-risk” (DaR) to examine extreme outflowsat the lower tail of the distribution. By applying quantile regressions, we analyze therelationship between digitalisation, social media, and deposit volatility. Our findings reveal that increased use of online banking services slightly amplifiesextreme deposit outflows during stress periods, though this effect is not exacerbated bythe availability of mobile banking apps. Importantly, neither online banking nor mobileapp usage has a causal effect on deposit volatility during normal times. Furthermore,the role of social media in driving deposit outflows appears to be significant only inidiosyncratic cases, such as during the Silicon Valley Bank crisis, rather than being asystematic driver of instability. To address endogeneity issues common in this literature, we implement a carefulempirical identification strategy. This includes baseline regressions using banks mobileapp availability as a proxy for digitalisation and advanced regressions combining bank-level data with country-level variation in digital banking use. We also incorporate fixedeffects to account for unobserved heterogeneity at the bank and depositor levels. As a robustness check, we conduct a case study on a subset of German banks tofurther control for depositor heterogeneity. Our results align with findings in the U.S.context, such as those by Koont et al. (2024), who examine digital bank runs, and Cooksonet al. (2023), who explore social media as a catalyst for bank runs. Our analysis extends the literature by examining various depositor classes and exploring how digitalisation impacts the interest rate sensitivity of deposit flows. Whileprior work, such as Erel et al. (2023), showed that digital banks may experience depositinflows during monetary tightening due to higher deposit rate adjustments, our findingsemphasize the nuanced role of digitalisation in amplifying outflows during crises. This study has important implications for policymakers, particularly in managingliquidity risks and adapting Basel III liquidity regulations to account for the evolvingdigital landscape of banking. 1Introduction The digitalisation of finance and the role of social media are likely to increasinglyinfluence retail depositor behaviour, a fact that has been recognised even before the 2023banking turmoil. The deployment of widespread online banking services already beganfollowing the 2007-2009 financial crisis, only to accelerate following the Covid-19 period.By the end of 2024, around 85% of EU banks participating in the Single SupervisoryMechanism (SSM), so-called Significant Institutions (SIs), offered a mobile banking app.In addition, in conjunction with a rapid dissemination of news, for example via theplatform X (formerly Twitter), discussions among policy makers have intensified as towhether the role of social media