货币政策与银行融资成本：政策利率向美国银行融资成本传导的模式和可预测性

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online) Monetary Policy and Bank Funding Costs: Patterns andPredictability in the Transmission of the Policy Rate to U.S.Banks’ Funding Costs Daniel A. Dias; Sophia C. Scott 2025-083 Please cite this paper as:Dias, Daniel A., and Sophia C. Scott (2025). “Monetary Policy and Bank Funding Costs:Patterns and Predictability in the Transmission of the Policy Rate to U.S. Banks’ FundingCosts,” Finance and Economics Discussion Series 2025-083. Washington: Board of Gover-nors of the Federal Reserve System, https://doi.org/10.17016/FEDS.2025.083. NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers. Monetary Policy and Bank Funding Costs: Patterns andPredictability in the Transmission of the Policy Rate toU.S. Banks’ Funding Costs∗ Daniel A. Dias†Sophia C. Scott‡ August 7, 2025 Abstract This paper shows that U.S. commercial banks’ funding betas rise predictably with thelength, magnitude, and direction of each monetary policy cycle: longer cycles and thosewith larger changes in the policy rate yield stronger pass-through in both tighteningand loosening cycles, with modest asymmetry favoring slightly greater transmissionduring loosening cycles. Nondeposit liabilities consistently adjust more than deposits.Crucially, at the aggregate banking-system level and across banks grouped by size,this cycle-dependent relationship has remained remarkably stable over three decades,highlighting the durability and predictability of interest-rate transmission to banks’funding costs. 1Introduction Banks fund their assets through a combination of equity and debt, with debt funding splitinto deposits and nondeposit liabilities.1As banks compete with other financial institutionsfor these funding sources, they must carefully manage the rates paid on deposits and nonde-posit liabilities to remain attractive to creditors and investors while maintaining profitability.A key determinant of these rates is the central bank’s policy rate, which directly and in-directly influences the cost of various forms of bank funding.When the Federal Reserveadjusts its policy rate, banks must recalibrate their funding costs, particularly deposit rates,to retain depositors while mitigating the effect on interest expenses and profitability.Un-derstanding whether the pass-through of policy rate changes to funding costs is stable andpredictable has important implications for financial stability. If banks’ funding costs rise tooquickly relative to asset yields, net interest margins may compress, eroding profitability andpotentially incentivizing greater risk-taking. At the same time, lower profitability can reducebanks’ resilience to shocks, increasing financial fragility. These dynamics can amplify finan-cial stress, particularly in environments with rapidly changing policy rates, underscoring theimportance of understanding how predictably funding costs adjust to monetary policy shifts. In this paper, we examine the transmission of policy rate changes to U.S. banks’ fundingrates using aggregated data constructed from individual bank observations. We analyze bothoverall trends and differences across bank-size categories over multiple monetary policy cyclessince the mid-1980s. We then assess whether these relationships are stable and predictableacross cycles. This paper contributes to the existing literature on the transmission of monetary policythrough banks, which has been widely explored in studies such as Bernanke and Blinder(1992), Kashyap and Stein (2000), Jim´enez et al. (2012), and Drechsler, Savov, and Schnabl(2017). These papers examine how changes in monetary policy affect banks’ lending behavior and aggregate financial conditions through the bank lending and deposit channels.Ourcontribution lies in documenting patterns of the transmission of policy rates to banks’ fundingrates, helping to assess the stability of the relationship between monetary policy and totalbank funding costs. Recent research focusing on the United States—including Kang-Landsberg and Plosser(2022) and Kang-Landsberg, Luck, and Plosser (2023);Kleymenova, Leu, and Vojtech(2024); and the Federal Reserve Bank of Kansas City (2024)—has used similar data todocument the increasing sensitivity of deposit rates to policy rate changes.These studiesprimarily examine deposit betas, defined as the ratio of the change in banks’ average depositrates to the change in the policy rate.While they document and analyze deposit rate re-sponsiveness to changes in