Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?
1 Sep 1998
RDP
9812
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1998/9812.html
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Financial Intermediaries
10 Mar 2006
FSR
– March 2006
VaR models use the distribution of historical price changes to estimate the potential for future losses, relative to a confidence level. ... A confidence level of 99 per cent, for example, indicates a 99 per cent probability that losses will not exceed
https://www.rba.gov.au/publications/fsr/2006/mar/fin-intermed.html
Model Designs
31 Dec 2011
RDP
2011-04
t1. ) and other model variables (w. t. ), that is, they have the structure. ... Iacoviello (2005) estimates a model based on these ideas. The loan-to-value ratio need not be fixed (although it is in many models, such as Iacoviello (2005)) and could be
https://www.rba.gov.au/publications/rdp/2011/2011-04/model-designs.html
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Economic Forecasting at the Reserve Bank of Australia
6 Apr 2016
Speech
Speech delivered by Christopher Kent, Assistant Governor (Economic), to the Economic Society of Australia, Hobart
https://www.rba.gov.au/speeches/2016/sp-ag-2016-04-06.html
Cyclical Labour Market Adjustment in Australia
17 Mar 2016
Bulletin
– March 2016
Since the late 1990s, a larger share of labour market adjustment in Australia has come about via changes in average hours worked, as opposed to changes in the number of people employed. Much of this is likely to reflect that the economic downturns
https://www.rba.gov.au/publications/bulletin/2016/mar/2.html
Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
21 Sep 2023
RDP
2023-09
For example, many models, including Woodford (2005), model investment using convex adjustment costs, leading to smooth investment. ... 100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log)
https://www.rba.gov.au/publications/rdp/2023/2023-09/full.html
The Model's Properties
1 Nov 1995
RDP
9510
Equation (17) embeds the mark-up model (2) in its static long-run solution p. ... models of the Australian CPI are in differences only and require substantially longer lags.
https://www.rba.gov.au/publications/rdp/1995/9510/models-properties.html
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Box B: Lags from Activity to the Labour Market
10 May 2014
SMP
– May 2014
One approach that can provide an estimate of the magnitude of these links is a VAR model, which captures the dynamic relationships between these variables. ... The results of VAR models can be interpreted using impulse responses, which trace out how
https://www.rba.gov.au/publications/smp/2014/may/box-b.html
Appendix A: Testing the Intertemporal Model
31 Dec 2007
RDP
2007-02
RDP 2007-02: Current Account Deficits: The Australian Debate Appendix A: Testing the Intertemporal Model. ... t. are subject to measurement error. This model is easily generalised to incorporate higher order VARs.
https://www.rba.gov.au/publications/rdp/2007/2007-02/appendix-a.html
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Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis | Conference – 2011
16 Aug 2011
Conferences
Macroeconomic models provide an alternative approach. An alternative way of estimating growth spillovers is to use results from an empirically estimated macroeconomic model. ... It is worth stressing that this is a typical result from conventional
https://www.rba.gov.au/publications/confs/2011/bayoumi-bui.html