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Duration of Demand Deposits in Theory

Publication at Faculty of Social Sciences |
2015

Abstract

This paper deals theoretically the estimation of duration of demand deposits that are defined as non-maturing products without any defined liquidity and interest rate behaviour by a contract as maturing products. Due to this fact, banks estimate liquidity and interest rate characteristics including duration of demand deposits by their internal models.

We also describe the procedure called ""replicating portfolios"" than can be used to estimate duration of demand deposits.