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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Financial Stability Review - March 2005
12 Jul 2005
FSR
PDF
1040KB
Reserve Bank of Australia
https://www.rba.gov.au/publications/fsr/2005/mar/pdf/0305.pdf
Meet Martin The Rbas New Macroeconomic Model
17 Sep 2018
Bulletin
- March 2018
PDF
366KB
https://www.rba.gov.au/publications/bulletin/2018/mar/pdf/meet-martin-the-rbas-new-macroeconomic-model.pdf
Estimating the Relative Contributions of Supply and Demand Drivers to Inflation in Australia
13 Jun 2023
Bulletin
- June 2023
PDF
711KB
https://www.rba.gov.au/publications/bulletin/2023/jun/pdf/estimating-the-relative-contributions-of-supply-and-demand-drivers-to-inflation-in-australia.pdf
Financial Intermediaries
10 Mar 2005
FSR
– March 2005
This is evident in the major banks' exposure to market risk through their trading operations, as measured by the average value at risk (VaR). ... Footnote. Value-at-Risk (VaR) models use the distribution of historical price changes to estimate the
https://www.rba.gov.au/publications/fsr/2005/mar/fin-intermed.html
Financial Stability Review - September 2004
6 Jan 2005
FSR
PDF
1099KB
CONTENTS. 1 Overview. 3 The Macroeconomic and Financial Environment. 16 Box A: Credit Card Indicators. 18 Box B: The Housing Market Slowdown in the Netherlands. 21 Financial Intermediaries. 37 Box C: Measures of Housing Loan Quality. 39 Box D: The
https://www.rba.gov.au/publications/fsr/2004/sep/pdf/0904.pdf
Bulletin December Quarter 2022
8 Dec 2022
Bulletin
- December 2022
PDF
4585KB
https://www.rba.gov.au/publications/bulletin/2022/dec/pdf/bulletin-2022-12.pdf
Market Making in Bond Markets
19 Mar 2015
Bulletin
– March 2015
In November 2014, the Committee on the Global Financial System (CGFS) published a report on developments in market making and proprietary trading in fixed income and related derivative markets (CGFS 2014). The aim of the report was to facilitate a
https://www.rba.gov.au/publications/bulletin/2015/mar/7.html
Bulletin September Quarter 2021
22 Aug 2022
Bulletin
- September 2021
PDF
8022KB
https://www.rba.gov.au/publications/bulletin/2021/sep/pdf/bulletin-2021-09.pdf
News Sentiment and the Economy
18 Jun 2020
Bulletin
– June 2020
The large and immediate effect of the COVID-19 pandemic on economic activity has increased the need for more real-time indicators of the economy.
https://www.rba.gov.au/publications/bulletin/2020/jun/news-sentiment-and-the-economy.html
Economic and Financial Research in the Reserve Bank in 1997
10 Jan 1998
Bulletin
– January 1998
A paper by Colleen Cassidy and Marianne Gizycki outlines various approaches to obtaining estimates of the VaR. ... Each of the approaches is based on assumptions and these assumptions need to be tested, as do the predictions from the models used to
https://www.rba.gov.au/publications/bulletin/1998/jan/2.html