WordPress likely won't slow down your video delivery as the videos are simply links to external files within the WordPress framework. If you are happy with EuroVPS other than the bandwidth issue, you should move your video files to a cloud server. I like Rackspace's Cloud Server platform because it scales and charges based on bandwidth used and offers competitive pricing compared to Amazon's AWS. You can then link to these external files from your WordPress site.
Most larger sites host their high-bandwidth content on separate servers from their general site for the sake of not slowing down their main site components due to excessive bandwidth usage from streaming content.
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