Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions
29 Dec 2022
RDP
PDF
1886KB
known problems with conducting Bayesian inference in set-identified models; in particular, a. ... 3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-09.pdf
DSGE Reno: Adding a Housing Block to a Small Open Economy Model
1 Apr 2018
RDP
2018-04
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’ directory. ... Existing results are stored in VAR_model_1, VAR_model_2, VAR_model_3 and VAR_model_4. Bayesian IRFs:.
https://www.rba.gov.au/publications/rdp/2018/2018-04/read-me.html
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The Structural VAR
31 Dec 2001
RDP
2001-01
The VAR methodology specifically allows the data to suggest the best model. ... If, for example, we have estimated a VAR(3) model, the long-run cumulative effect of an innovation in u.
https://www.rba.gov.au/publications/rdp/2001/2001-01/structural-var.html
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Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
13 Feb 2024
RDP
PDF
1260KB
Using. a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative. ... In part,. this appears to reflect our use of a local projection model instead of a VAR.
https://www.rba.gov.au/publications/rdp/2024/pdf/rdp2024-01.pdf
Oil Price Shocks, Monetary Policy and Stagflation | Conference – 2009
17 Aug 2009
Conferences
Their model included censored changes in nominal oil prices. Kilian and Vigfusson (2009) show that the impulse response estimates constructed from such censored vector autoregressive (VAR) models are inconsistent because the ... The lack of temporal
https://www.rba.gov.au/publications/confs/2009/kilian.html
Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Dec 2009
RDP
PDF
400KB
Many banks that use VaR models routinely perform simple comparisons of dailyprofits and losses with model-generated risk measures to gauge the accuracy of theirrisk measurement systems. ... It should be kept in mind that shortcomings in the construction
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf
An Empirical BVAR-DSGE Model of the Australian Economy
2 Feb 2015
RDP
PDF
657KB
3. Estimating the Models 8. 3.1 Estimating the DSGE Model 83.1.1 Estimating the large economy Minnesota VAR 83.1.2 DSGE calibration 103.1.3 DSGE posterior 12. ... 3.3 Estimating the Benchmark Models 173.3.1 The small open economy Minnesota VAR 17.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-07.pdf
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
model the future path of interest rates and premia based on data on yields. ... Our baseline VAR is estimated (using ordinary least squares) at a monthly frequency.
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
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Measurement with Some Theory: Using Sign Restrictions to Evaluate Business Cycle Models
3 Dec 2007
Research Workshop
PDF
444KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/canova.pdf
The VAR Methodology
1 May 1986
RDP
8604
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8604/var-methodology.html
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