Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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New Measures of Financial Stress from Non-traditional Data
8 Dec 2022
Bulletin
– December 2022
Household and business financial stress has significant implications for financial stability and monetary policy.
https://www.rba.gov.au/publications/bulletin/2022/dec/new-measures-of-financial-stress-from-non-traditional-data.html
Economic and Financial Research in the Reserve Bank in 1997
22 Feb 2001
Bulletin
PDF
41KB
9. by David Gruen, John Romalis andNaveen Chandra attempts to measure thistime lag using a simple model of Australianoutput growth. ... A paperby Colleen Cassidy and Marianne Gizyckioutlines various approaches to obtainingestimates of the VaR.
https://www.rba.gov.au/publications/bulletin/1998/jan/pdf/bu-0198-2.pdf
Assessing Physical Climate Risk in Repo-eligible Residential Mortgage-backed Securities
18 Apr 2024
Bulletin
– April 2024
This article assesses physical climate risk in Australian residential mortgage-backed securities (RMBS) using two risk metrics.
https://www.rba.gov.au/publications/bulletin/2024/apr/assessing-physical-climate-risk-in-repo-eligible-residential-mortgage-backed-securities.html
Bulletin March Quarter 2017
10 Feb 2020
Bulletin
March Quarter 2017
PDF
6757KB
https://www.rba.gov.au/publications/bulletin/2017/mar/pdf/bu-0317-reserve-bank-bulletin.pdf
The Economic Effects of Low Interest Rates and Unconventional Monetary Policy
17 Sep 2020
Bulletin
– September 2020
The cash rate is currently at its effective lower bound and the Reserve Bank has put in place a suite of alternative monetary policy tools.
https://www.rba.gov.au/publications/bulletin/2020/sep/the-economic-effects-of-low-interest-rates-and-unconventional-monetary-policy.html
The Economic Effects of Low Interest Rates and Unconventional Monetary Policy
17 Sep 2020
Bulletin
- September 2020
PDF
433KB
https://www.rba.gov.au/publications/bulletin/2020/sep/pdf/the-economic-effects-of-low-interest-rates-and-unconventional-monetary-policy.pdf
Inflation Expectations in Advanced Economies
10 Feb 2020
Bulletin
March Quarter 2017
PDF
1560KB
https://www.rba.gov.au/publications/bulletin/2017/mar/pdf/bu-0317-4-inflation-expectations-in-advanced-economies.pdf
Our People
27 Oct 2022
RBA Annual Report
– October 2022
The key focus areas of the strategy are:. reinforcing leadership commitment to inclusion, where all leaders show visible, authentic commitment to inclusion and consistently role model inclusive behaviours.
https://www.rba.gov.au/publications/annual-reports/rba/2022/our-people.html
Risk Management
27 Oct 2022
RBA Annual Report
– October 2022
To help manage risk, the Bank has implemented the three lines model. ... Risk and Compliance Department typically values these securities based on a pricing model that references prices in the public ABS market.
https://www.rba.gov.au/publications/annual-reports/rba/2022/risk-management.html
3.3 Risk Management
19 Oct 2023
RBA Annual Report
– October 2023
Risk Management | Reserve Bank of Australia Annual Report – October 2023
https://www.rba.gov.au/publications/annual-reports/rba/2023/risk-management.html