Board of Governors of the Federal Reserve System

Figure 1. Deposit Rates for Households and Nonfinancial Corporations

This is a line chart titled "Deposit Rates for Households and Nonfinancial Corporations." The x-axis ranges from 2000m1-2023m3 in months. The y-axis ranges from approximately -1% to 6% in percentage points. There are five variables on the plot. The first line is labeled household overnight rate; is designated by a blue dash-dotted line, and ranges from approximately 0% to approximately 1.5%. This variable is declines over time from approximately 1.5% in 2000 to 0% in 2022, before beginning to rise in July 2022 to 0.1% by March 2023. The second line is labeled household time rate; is designated by a thick blue line, and ranges from approximately 0.25% to approximately 4.5%. This variable also declines over time from approximately 4.5% in 2000 to approximately 0.25% in 2022, before beginning to rise in July 2022 to approximately 2% in by March 2023. The third variable is labeled NFC overnight rate; is designated by a dashed red line, and ranges from approximately -0.1% to approximately 2%. This variable declines from approximately 1.8% in 2000 to approximately -0.1% in 2022, before beginning to rise in July 2022 to approximately 0.25% by March 2023. The fourth line is labeled NFC time rate; is designated by a moderately weighted red line, and ranges from approximately -0.5% to 5%. This variable also declines over time from approximately 5% in late 2000 to -0.5% in 2022, before beginning to rise in July 2022 to approximately 2.5% by March 2023. The fifth line is labeled deposit facility rate; is designated by a thin black line, and ranges from -0.5% to approximately 3.75%. This variable declines over time from 3.75% in late 2000 to -0.5% in 2022, before beginning to rise in July 2022 to 3% by March 2023. All four deposit rate figures are correlated with the deposit facility rate, such that the decline in the deposit rate from 2000 to 2004 and subsequent rise from 2004 to 2008 is reflected in the other series.

Note: This figure displays the evolution of household and NFC time and overnight deposit rates, as well as the ECB's main deposit facility rate, from January 2000 to March 2023. The thin solid black line denotes the deposit facility rate, a key ECB policy rate. The thick blue line denotes household time deposit rates, while the thin blue dash-dotted line denotes household overnight deposit rates. The medium-weighted red line denotes NFC time deposit rates, while the red dashed line denotes NFC overnight deposit rates.

Source: ECB.

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Figure 2. Deposit Breakdown of Private, Non-Monetary Financial Institution Deposits

This is a stacked area chart titled "Deposit Breakdown of Private, Non-Monetary Financial Institution Deposits." The x-axis ranges from 2000m1 to 2003m3 in months. The y-axis ranges from 0% to 100%, representing the share of the total in percentage points. The bottom is labeled "1" corresponds to 1 - NFC time deposits; is designated by a light red area, and ranges from 0 to 6%. As a stacked area chart, this implies that the share of NFC time deposits roughly declines from about 5% in 2000 to 2% in June 2022, before rising in July 2022 to approximately 4% in March 2023. The second area labeled "2" corresponds to 2 – NFC overnight deposits; is designated by a moderately dark red area, and ranges from approximately 6% to 21%. As a stacked area chart, this implies that the share of NFC overnight deposits ranges from 8% to 18%. The share of overnight deposits stays stable at about 8% until roughly 2013, when it begins to grow in importance until July 2022. It then declines slightly to approximately 16%. The third area labeled "3" corresponds to 3 – Other NFC Deposits; is designated by a dark red area, and ranges from approximately 21% to 24%. As a stacked area chart, this implies that the share of other NFC deposits is approximately 2%. This region stays roughly stable the entire period. The fourth area labeled "4" corresponds to 4 – Household time deposits; is designated by a light blue area, and ranges from approximately 24% to 38%. As a stacked area chart, this implies that the share of household time deposits ranges from approximately 7% to 22%. The share of household time deposits declines from approximately 20% in 2000 to 7% in July 2022, before rising to 8% by March 2023. The fifth area labeled "5" corresponds to 5 – Household overnight deposits; is designated by a moderately dark blue area, and ranges from 38% to 67%. As a stacked area chart, this implies that the share of household overnight deposits ranges from approximately 17% to 37%. The share of household overnight deposits rose from 17% in January 2000 to approximately 37% by March 2023. The sixth area labeled "6" corresponds to 6 – other household deposits; is designated by a dark blue area, and ranges from 67% to 84%. As a stacked area chart, this implies that the share of other household deposits ranges from 16% to 28%. The share of household other deposits declined from 28% in January 2000 to 17% in March 2023. The seventh area labeled "7" corresponds to 7 – Other Non-Financial Private Sector Deposits; is designated by a dark gray area, and ranges from 84% to 100%. As a stacked area chart, this means that the share of other non-financial private sector deposits ranges from 16% to 29%. The share of other non-financial private sector deposits rises from approximately 20% in 2000 to 29% in 2023, before declining to approximately 17% in March 2023.

Note: This figure displays the evolution of deposits between January 2000 and March 2023. Working upwards, the bottom three categories, in progressively darker shades of red, denote NFC time deposits (1), NFC overnight deposits (2), and other NFC deposits (3), respectively. The next three categories, in progressively darker shades of blue, denote household time deposits (4), household overnight deposits (5), and other household deposits (6), respectively. Other categories include repurchase agreements, deposits "redeemable at notice" (a more restrictive form of overnight deposits), and foreign currency deposits. The top category, in gray, denotes other private sector non-monetary financial institution deposits (7), such as deposits by pension funds or insurance companies.

Source: ECB, Author's Calculations.

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Figure 3. Cumulative Passthrough across Tightening Cycles

This figure is a line chart titled "Cumulative Passthrough across Tightening Cycles." There are four panels.

• The top-left panel is titled "Household Time Deposit Rate." The x-axis ranges from 0 to 25 in months, and the y-axis ranges from 0.2 to 1 in passthrough rates. There are two variables on the plot. The first line; designated by a red dashed line with triangles as the points, ranges from 0.4 to approximately 1. This variable rises from 0.4 for month 1, labeled Dec 2005, to approximately 1 for month 24, labeled Nov 2007. The second line; designated by a black solid line with circles as the points, ranges from approximately 0.2 to approximately 0.5. This variable rises from 0.2 for month 1, labeled Jul 2022, to approximately 0.5 for point 9, labeled Mar 2023.
• The top-right panel is titled "Nonfinancial Corporate Time Deposit Rate." The x-axis ranges from 0 to 25 in months, and the y-axis ranges from 0.4 to 1 in passthrough rates. There are two variables on the plot. The first line; designated by a red dashed line with triangles as the points, ranges from 0.7 to approximately 1. This variable rises from 0.7 for month 1, labeled Dec 2005, to approximately 1 for month 24, labeled Nov 2007. The second line; designated by a black solid line with circles as the points, ranges from approximately 0.4 to approximately 0.8. This variable rises from 0.4 for month 1, labeled Jul 2022, to approximately 0.8 for point 9, labeled Mar 2023.
• The bottom-left panel is titled "Household Overnight Deposit Rate." The x-axis ranges from 0 to 25 in months, and the y-axis ranges from 0 to 0.25 in passthrough rates. There are two variables on the plot. The first line; designated by a red dashed line with triangles as the points, ranges from 0.05 to approximately 0.25. This variable rises from 0.05 for month 1, labeled Dec 2005, to approximately 0.25 for month 24, labeled Nov 2007. The second line; designated by a black solid line with circles as the points, ranges from approximately 0.025 to approximately 0.05. This variable rises from 0.025 for month 1, labeled Jul 2022, to approximately 0.05 for point 9, labeled Mar 2023.
• The bottom-right panel is titled "Nonfinancial Corporate Overnight Deposit Rate." The x-axis ranges from 0 to 25 in months, and the y-axis ranges from 0.1 to 0.5 in passthrough rates. There are two variables on the plot. The first line; designated by a red dashed line with triangles as the points, ranges from 0.1 to approximately 0.5. This variable rises from 0.1 for month 1, labeled Dec 2005, to approximately 0.5 for month 24, labeled Nov 2007. The second line; designated by a black solid line with circles as the points, ranges from approximately 0.1 to approximately 0.15. This variable rises from 0.1 for month 1, labeled Jul 2022, to approximately 0.15 for point 9, labeled Mar 2023.

Note: This figure displays the cumulative passthrough as described in the main text. The black solid line with circles denotes cumulative passthrough in the current tightening cycle relative to June 2022. The dashed red line with triangles denotes cumulative passthrough in the first 24 months of the last tightening cycle between November 2005 and November 2007.

Source: ECB, Authors' calculations.

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Figure 4. Comparing Passthrough in the Pre-pandemic Period to Today's Tightening Cycle

This figure is a scatter plot titled "Comparing passthrough in the pre-pandemic period to today's tightening cycle." There are two panels.

• The panel on the left is titled "Household Time Deposits." The x-axis ranges from 0 to 1.5 and the y-axis ranges from 0 to 1.5, both are passthrough rates. The dashed line denotes the 45-degree line. In blue circles are euro-area countries present at the onset of the euro area, in red triangles are euro-area countries that joined after the creation of the euro area, and in the green diamond is the euro-area aggregate. The points lie underneath the 45-degree line (to the bottom-right), implying that pass-through in the pre-pandemic era was higher than current passthrough rates.
• The panel on the right is titled "Nonfinancial Corporate Time Deposits." The x-axis ranges from 0 to 1.5 and the y-axis ranges from 0 to 1.5, both are passthrough rates. The dashed line denotes the 45-degree line. In blue circles are euro-area countries present at the onset of the euro area, in red triangles are euro-area countries that joined after the creation of the euro area, and in the green diamond is the euro-area aggregate. The points lie underneath the 45-degree line (to the bottom-right), implying that pass-through in the pre-pandemic era was higher than current passthrough rates.

Note: This figure compares estimated passthrough in the pre-pandemic era ("Pre-Pandemic Long-Term Passthrough") to the calculated passthrough from the current tightening period ("Current Passthrough") as described in the main text. Countries in blue circles are those that joined the euro in 2000 or 2001. Countries in red triangles joined afterwards and so have shorter sample periods. The aggregate results for the euro area are in green diamonds. The pre-covid point estimates for the euro area are slightly larger than those in Table (1) because we do not include controls in this regression. The gray dashed line denotes the 45-degree line. (AT: Austria, BE: Belgium, CY: Cyprus, EE: Estonia, FI: Finland, FR: France, DE: Germany, GR: Greece, IT: Italy; LV: Latvia, LT: Lithuania, NL: Netherlands, PT: Portugal, SK: Slovakia, SI: Slovenia, ES: Spain)

Source: ECB, Authors' calculations.

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Figure 5. Correlations of Household Time Deposit Passthrough with Measures of the Banking System

This figure is a scatter plot titled "Correlation of household deposit passthrough with measures of the banking system." There are four panels.

• The top-left panel is titled "Excess Reserves to Total Assets." The x-axis ranges from 5% to 35% and represents the ratio of excess reserves to total assets in percentage points for April 2022. The y-axis ranges from 0 to 0.8 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a strong negative correlation between the ratio of excess reserves to total assets and passthrough rates.
• The top-right panel is titled "LTRO to Total Assets." The x-axis ranges from 0% to 16% and represents the ratio of outstanding long-term refinancing operations to total assets in percentage points for May 2022. The y-axis ranges from 0 to 0.8 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a slight negative correlation between the ratio of LTRO to total assets.
• The bottom-left panel is titled "Net Interest Margin." The x-axis ranges from 0% to 4% and represents the average net interest margin over the period 2018-2019. The y-axis ranges from 0 to 0.8 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a negative correlation between net interest margins and passthrough rates.
• The bottom-right panel is titled "Top 5 Share of Assets." The x-axis ranges from 20% to 100% and represents the share of banking sector assets attributed to the largest five banks in December 2021. The y-axis ranges from 0 to 0.8 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a negative correlation between the top 5 share of assets and passthrough rates.

Note: This figure relates the estimated passthrough in the current tightening period to various structural measures of the banking system for household time deposits, as described in the main text. The measure of TLTRO usage relies on LTRO data, as a breakdown of LTRO is not available at the country level. The gray dashed line denotes the line of best fit. (AT: Austria, BE: Belgium, CY: Cyprus, EE: Estonia, FI: Finland, FR: France, DE: Germany, GR: Greece, IT: Italy; LV: Latvia, LT: Lithuania, NL: Netherlands, PT: Portugal, SK: Slovakia, SI: Slovenia, ES: Spain)

Source: ECB, Authors' Calculations.

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Figure 6. Correlations of Nonfinancial corporate Time Deposit Passthrough with Measures of the Banking System

This figure is a scatter plot titled "Correlation of nonfinancial corporate time deposit passthrough with measures of the banking system." There are four panels.

• The top-left panel is titled "Excess Reserves to Total Assets." The x-axis ranges from 5% to 35% and represents the ratio of excess reserves to total assets in percentage points for April 2022. The y-axis ranges from 0.2 to 1.0 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a strong negative correlation between the ratio of excess reserves to total assets and passthrough rates.
• The top-right panel is titled "LTRO to Total Assets." The x-axis ranges from 0% to 16% and represents the ratio of outstanding long-term refinancing operations to total assets in percentage points for May 2022. The y-axis ranges from 0.2 to 1.0 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a slight negative correlation between the ratio of LTRO to total assets.
• The bottom-left panel is titled "Net Interest Margin." The x-axis ranges from 0% to 4% and represents the average net interest margin over the period 2018-2019. The y-axis ranges from 0.2 to 1.0 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a negative correlation between net interest margins and passthrough rates.
• The bottom-right panel is titled "Top 5 Share of Assets." The x-axis ranges from 20% to 100% and represents the share of banking sector assets attributed to the largest five banks in December 2021. The y-axis ranges from 0.2 to 1.0 and represents passthrough rates. The circles plot values for each country, with 2-letter country acronyms explained in the footnote. The dashed line denotes the line of best fit. There is a negative correlation between the top 5 share of assets and passthrough rates.

Note: This figure relates the estimated passthrough in the current tightening period to various structural measures of the banking system for nonfinancial corporate time deposits, as described in the main text. The measure of TLTRO usage relies on LTRO data, as a breakdown of LTRO is not available at the country level. The gray dashed line denotes the line of best fit. (AT: Austria, BE: Belgium, CY: Cyprus, EE: Estonia, FI: Finland, FR: France, DE: Germany, GR: Greece, IT: Italy; LV: Latvia, LT: Lithuania, NL: Netherlands, PT: Portugal, SK: Slovakia, SI: Slovenia, ES: Spain)

Source: ECB, Authors' Calculations.

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