This paper investigates the effectiveness of depositor discipline for the Brazilian banking industry. The study shows that depositors are able do discriminate between well and poorly managed banks. Evidence of market discipline is found, both via quantity (withdrawal of deposits) and prices (increases in interest rates). However, the former is more pronounced in crisis periods while the latter is more relevant in tranquil periods. Therefore, in crisis depositors discipline banks by withdrawing deposits while in non-crisis periods charging higher interest rates. The macroeconomic environment and systemic effects are shown to be important. Furthermore, the too big to fail hypothesis is also confirmed for the Brazilian economy.