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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Appendix B: Aggregate Data Results

19 Dec 2023 RDP 2023-09
100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log) consumption, (log) non-mining business investment, (log) dwelling investment and cash rate. ... Difference between leader and other firm. Notes:
https://www.rba.gov.au/publications/rdp/2023/2023-09/appendix-b.html

The FRB/US Model

10 Dec 2014 RDP 2014-02
Peter Tulip
I use the FRB/US model of the US economy, one of the main macroeconometric models used at the Federal Reserve Board of Governors. ... More important, Coenen et al (2012, Figure 7) find that FRB/US multipliers are similar to those of recent DSGE models,
https://www.rba.gov.au/publications/rdp/2014/2014-02/model.html
See 11 more results from "RDP 2014-02"

Start Spreading the News: News Sentiment and Economic Activity in Australia

21 Dec 2020 RDP PDF 1524KB
Similarly,. we run a VAR model to estimate the impulse responses to a news uncertainty shock. ... uncertainty using VAR and LP are both qualitatively and quantitatively comparable (Figures 13.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-08.pdf

References

3 Jan 2023 RDP 2022-09
Matthew Read
Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR Models’, RBA Research
https://www.rba.gov.au/publications/rdp/2022/2022-09/references.html
See 13 more results from "RDP 2022-09"

Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE

22 Dec 2023 RDP 2023-09
Figure B1 vars.wf1 – Eviews 13 workfile with VAR models for Figure B1.
https://www.rba.gov.au/publications/rdp/2023/2023-09/read-me.html

References

31 Dec 2007 RDP 2007-01
Kristoffer Nimark
An S and F Schorfheide (forthcoming), ‘Bayesian Analysis of DSGE Models’, Econometric Review. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, The Economic Record, 76(235), pp 321–342.
https://www.rba.gov.au/publications/rdp/2007/2007-01/references.html
See 8 more results from "RDP 2007-01"

An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?

1 Sep 1998 RDP 9812
Jeffrey C. Fuhrer
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1998/9812.html
See 12 more results from "RDP 9812"

Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!

3 May 2023 RDP PDF 247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf

Forecasting Australian Economic Activity Using Leadership Indicators

1 Dec 2009 RDP PDF 338KB
Althoughnot uniform across all forecast horizons, generally the simple AR(p) model withtrend performs at least as well as the VAR models. ... At all horizons,both the single variable model and the VAR models with index perform roughlythe same.
https://www.rba.gov.au/publications/rdp/2000/pdf/rdp2000-02.pdf

Co-movement in Inflation

28 Jan 2015 RDP PDF 814KB
In this paper we use a panel vector autoregression (panel VAR) model to investigate possible explanations of this co-movement for the G7 economies. ... 4. Results. This section presents the key results from the panel VAR model.
https://www.rba.gov.au/publications/rdp/2012/pdf/rdp2012-01.pdf