{"slug":"deposit-betas","name":"Deposit betas","family":"Banking","status":"active","estimate":"Bank-level cumulative pass-through from quarterly-average fed funds changes to implied deposit rates across three complete hiking cycles.","page":"/banks/deposit-betas","implementation":{"enginePaths":[],"producerPath":"scripts/build_deposit_betas.py","outputs":["data/parquet/deposit_rates.parquet","data/parquet/deposit_rates_by_product.parquet","data/parquet/deposit_betas.parquet"]},"methodology":[{"path":"scripts/build_deposit_betas.py","lines":[72,85],"note":"Defines dequarterization, the implied-rate construction, cumulative beta, and the three stored cycle endpoints."},{"path":"scripts/build_deposit_betas.py","lines":[427,533],"note":"Implements the implied total and product rates, quarterly FEDFUNDS averages, cycle betas, and all three outputs."},{"path":"src/app/banks/deposit-betas/methodology/page.tsx","lines":[94,184],"note":"Publishes the FFIEC and FRED sources, filing-item construction, dequarterization, implied-rate equation, product split, and cycle definition."}],"data":{"vintage":"Deposit rate and product panels each contain 666,701 bank-quarter observations for 10,858 banks from 2001Q1 through 2026Q1; cycle outputs contain 7,396, 5,261, and 4,572 banks, measured 2026-08-30","tables":["data/parquet/deposit_rates.parquet","data/parquet/deposit_rates_by_product.parquet","data/parquet/deposit_betas.parquet"],"sources":[{"label":"FFIEC Central Data Repository, public call-report bulk files","url":"https://cdr.ffiec.gov/public/pws/downloadbulkdata.aspx"},{"label":"Federal Reserve Economic Data (FRED)","url":"https://fred.stlouisfed.org/"}]},"method":["The producer dequarterizes year-to-date Schedule RI deposit interest expense within each bank-year, pairs each quarterly flow with the average of current and prior quarter-end interest-bearing deposit balances, annualizes it, and stores both raw and bounded implied rates. The same construction is repeated by deposit product using the documented RC-E balance mappings.","For each complete hiking cycle, a bank must have valid implied rates at both endpoints. Its cumulative beta is the change in that implied rate divided by the change in quarterly-average FRED FEDFUNDS.","These are implied average rates from public regulatory filings, not posted consumer offers or account-level prices."],"equations":[{"label":"Implied deposit rate","expr":"implied_rate_pct = 100 * 4 * quarterly_deposit_interest_expense / average(current_balance, prior_quarter_balance)"},{"label":"Cumulative deposit beta","expr":"beta = (rate_end - rate_start) / (quarterly_average_FEDFUNDS_end - quarterly_average_FEDFUNDS_start)"}],"validation":["deposit_rates.parquet and deposit_rates_by_product.parquet each contain 666,701 bank-quarter rows for 10,858 banks from 2001Q1 through 2026Q1.","deposit_betas.parquet contains 7,396 banks for 2004-2006, 5,261 for 2015-2019, and 4,572 for 2022-2023.","The producer enforces a JPMorgan dequarterization receipt, product-to-total expense and balance identities, rate drop counts, valid FEDFUNDS endpoints, and atomic writes."],"limitations":["Implied rates use expense over average quarter-end balances, not intra-quarter average balances or posted offers, and values outside 0% to 25% are treated as data errors.","End-to-end cycle betas hide repricing timing, and cycle distributions exclude banks without valid filings at both endpoints, including institutions that failed or merged mid-cycle.","The denominator convention is interest-bearing deposits for the total rate; product rates use total product balances, and the transaction product is a blended funding cost."],"references":[{"citation":"Drechsler, Savov, and Schnabl (2017), The Deposits Channel of Monetary Policy, Quarterly Journal of Economics 132(4): 1819-1876.","url":"https://doi.org/10.1093/qje/qjx019"},{"citation":"Kang-Landsberg, Luck, and Plosser (2023), Deposit Betas: Up, Up, and Away?, Federal Reserve Bank of New York Liberty Street Economics.","url":"https://libertystreeteconomics.newyorkfed.org/2023/04/deposit-betas-up-up-and-away/"}],"endpoints":[{"path":"/api/methods/[slug]","example":"/api/methods/deposit-betas","method":"GET","returns":"Registry metadata, implementation paths, measured vintage, methodology evidence, validation, and limitations. No model observations or parquet contents."}],"lastVerified":"2026-08-30"}