Search: VAR models

Sort by: Relevance Date
1–6 of 6 collapsed search results for VAR models
Did you mean varmodels?

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

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

Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

3 Jan 2023 RDP 2022-09
Matthew Read
3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block. ... These restrictions are consistent with monetary policy rules that are typically embedded in macroeconomic models.
https://www.rba.gov.au/publications/rdp/2022/2022-09/full.html

Robustness Exercises

3 Jan 2023 RDP 2022-09
Matthew Read
5.1 Model in first differences. Typical monetary policy rules embedded in macroeconomic models assume that the central bank responds to inflation and some measure of economic activity, such as the ... The observation that the proxy appears to contain
https://www.rba.gov.au/publications/rdp/2022/2022-09/robustness-exercises.html

Appendix A: Algorithms for Inference

3 Jan 2023 RDP 2022-09
Matthew Read
using the approaches described in Read (2022b). Under Restriction (3), the number of sign restrictions is equal to the number of endogenous variables in the VAR, so the sufficient condition in
https://www.rba.gov.au/publications/rdp/2022/2022-09/appendix-a.html

Framework

3 Jan 2023 RDP 2022-09
Matthew Read
In set-identified SVARs, it is convenient to reparameterise the model into its ‘orthogonal reduced form’ (e.g. ... I therefore adopt a ‘robust’ (multiple-prior) Bayesian approach to conduct posterior inference in set-identified models (Giacomini
https://www.rba.gov.au/publications/rdp/2022/2022-09/framework.html

Estimates under Different Sets of Sign Restrictions

3 Jan 2023 RDP 2022-09
Matthew Read
3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block. ... These restrictions are consistent with monetary policy rules that are typically embedded in macroeconomic models.
https://www.rba.gov.au/publications/rdp/2022/2022-09/estimates-under-different-sets-of-sign-restrictions.html