Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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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
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
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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The Dynamics of the Estimated Model
1 Jun 2015
RDP
2015-07
Using a structural VAR model, Manalo, Perera and Rees (in progress) find quantitatively similar results to us. ... In contrast, VAR models of the Australian economy typically attribute a larger share of macroeconomic volatility to foreign disturbances
https://www.rba.gov.au/publications/rdp/2015/2015-07/dynamics-estimated-model.html
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Structural Evolution of the Postwar U.S. Economy
12 Dec 2013
Research Workshop
PDF
950KB
Reserve Bank of Australia Workshop 2013
https://www.rba.gov.au/publications/workshops/research/2013/pdf/liu-morley.pdf
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 May 2023
RDP
PDF
1465KB
4. The Effects of Monetary Policy Shocks 16. 4.1 Monthly VAR 18. ... form VAR. More precisely, we consider the following proxy SVAR model (see also Doko Tchatoka and.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.pdf
Start Spreading the News: News Sentiment and Economic Activity in Australia
23 Dec 2020
RDP
2020-08
7. Robustness Tests and Extensions. We test for the robustness of estimated impulse responses in Section 5.2 using a multivariate VAR model which includes the current and lags of change ... Similarly, we run a VAR model to estimate the impulse responses
https://www.rba.gov.au/publications/rdp/2020/2020-08/full.html
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Bulletin June Quarter 2023
29 Sep 2023
Bulletin
- June 2023
PDF
7089KB
https://www.rba.gov.au/publications/bulletin/2023/jun/pdf/bulletin-2023-06.pdf
Estimation and Solution of Models with Expectations and Structural Changes
19 Dec 2012
RDP
2012-08
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2012/2012-08.html
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Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
15 Feb 2024
RDP
2024-01
Using a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative activity, as measured by R&D spending. ... To examine if their results hold for Australia specifically, we reproduce the small VAR model used in
https://www.rba.gov.au/publications/rdp/2024/2024-01/full.html
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