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Estimating the average lifetime of non-maturity deposits

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  • Calvin Price

    (MUFG)

Abstract

Non-maturity deposits represent funds placed with banks that have no contractually set time for maturing, or leaving the bank. However in the aggregate we know there is a tendency to see such deposits become increasingly withdrawn as these accounts get older. Having an estimate of the lifetime of such deposit accounts is an important ingredient for calculating their present value. We show how to model the average lifetime based on, first, estimating the decay rate of deposit balances using Stata's nl command, and second, calculating average lifetime based on the decay rate.

Suggested Citation

  • Calvin Price, 2018. "Estimating the average lifetime of non-maturity deposits," 2018 Stata Conference 12, Stata Users Group.
    • Handle: RePEc:boc:scon18:12
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    File URL: http://fmwww.bc.edu/repec/scon2018/columbus18_Price.pptx
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