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Title page 1

Contents 1

Abstract 2

1. Non-technical Summary 3

2. Introduction 4

3. Related Literature 6

4. Data 8

5. Empirical Patterns on Bank Deposit Pricing 10

5.1. Fact 1: Deposit Betas Are Low 11

5.2. Fact 2: Deposit Betas Declined Over Time 13

5.3. Fact 3: Deposit Betas Are Asymmetric 14

5.4. Fact 4: Deposit Betas across Markets and Banks 16

6. Model 19

6.1. Setup 19

6.2. Bank Rate Setting 20

7. Estimation and Results 22

7.1. Depositors: Nested Logit 22

7.1.1. Nested Logit Estimates 24

7.2. Depositors: Mixed Logit 28

7.2.1. Mixed Logit Estimates 31

7.3. Banks 33

7.3.1. Model Validation 34

7.3.2. Determinants of Gross Revenue 36

7.4. The Evolution of Bank Market Power 38

8. Counterfactual Analyses 40

8.1. The Role of Depositor Heterogeneity 41

8.2. The Role of Banks' Heterogeneity 42

9. Conclusion 43

References 46

Appendix 50

A. Household Income and Firm Revenue Distributions 50

B. Robustness Checks 52

C. Model: Nested Logit Elasticities 60

Acknowledgements 61

Tables 12

Table 1. Deposit Betas 12

Table 2. Deposit Betas across Monetary Policy Regimes 15

Table 3. Deposit Betas across Markets and Banks 17

Table 4. Deposit Supply Estimates, Nested Logit 25

Table 5. Deposit Supply Estimates, Mixed Logit 31

Table 6. Bank Estimates 35

Table 7. Interest Rate Decomposition 38

Figures 10

Figure 1. Time-series of Deposit Rates and Spreads in the Euro Area 10

Figure 2. Simple Deposit Betas 13

Figure 3. Change in interest rates between December 2021 and March 2024 16

Figure 4. Market Shares of Outside Options 28

Figure 5. Household Deposits 32

Figure 6. Markdowns, Overnight Deposits 40

Figure 7. Counterfactual Rates on Overnight Deposits, No Depositor Heterogeneity 41

Figure 8. Counterfactual Deposit Betas in 2022-2024 42

Figure 9. Counterfactual Rates on Overnight Deposits, No Bank Heterogeneity 43

Appendix Tables 53

Table B.1. Deposit Betas, Euribor 53

Table B.2. Deposit Pass-through, Error-correction Model 54

Table B.3. Short and Long-run Interest Rate Pass-through 55

Table B.4. Deposit Betas across Markets 56

Table B.5. Deposit Betas across Banks 57

Table B.6. Simple Betas and Bank Characteristics 58

Table B.7. Bank Estimates, Sample with Excess Liquidity and Tier 1 Capital Ratio 59

Appendix Figures 53

Figure B.1. Time-series of Spreads in the Euro Area, MRO 53

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