Objective and data usageThe objective of this website is to give researchers access to deposit betas for U.S. banks. Deposit betas measure the sensitivity of a bank's deposit cost to changes in the short-term interest rate. For example, a deposit beta of 0.4 means that a bank raises its average deposit rate by 40 bps for a 100 bps increase in the short-term interest rate.
Data usageThe deposit beta was introduced to the academic literature in a series of papers by Drechsler, Savov, and Schnabl. If you use the data, we ask you to cite the papers on which this work was based:
Methodology and sampleThe estimation follows the methodology in Drechsler, Savov, and Schnabl (2021). The sample covers all commercial banks with at least 40 quarterly observations in the years 1984 to 2022. The deposit beta is estimated using domestic deposit expenses scaled by domestic deposits. The expense beta is estimated using total interest expenses scaled by total assets.
Interpreting deposit betas1. We estimate each bank's deposit beta using all available data from 1984 to 2022. We therefore think of these betas as the average historical deposit beta. Banks' deposit betas may change over time and we may add different estimation periods in the future.
Data and VariablesThe data is available in STATA (download STATA File) and Excel (download Excel File).
Updates and FeedbackIf you have questions, please send an email to Bam Charoenwong at email@example.com.