Search: VAR models

Sort by: Relevance Date
1–9 of 9 collapsed search results for VAR models
Did you mean varmodels?

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

Credit Spreads, Monetary Policy and the Price Puzzle

1 Jan 2020 RDP 2020-01
Benjamin Beckers
t. (e.g. unemployment or output as captured by a standard VAR model),. ... However, adding this broad range of indicators to the VAR model is not feasible without applying some dimension reduction technique.
https://www.rba.gov.au/publications/rdp/2020/2020-01/full.html

Appendix D: Further Robustness Tests and Results

28 Jan 2020 RDP 2020-01
Benjamin Beckers
Both coefficients are statistically significant and increase the model fit from around 25 to 40 per cent (Table D1, regression BT). ... 2. 0.393. 0.527. 0.440. 0.403. 0.568. 0.490. 0.650. Notes: Statistical significance of the difference in model fit
https://www.rba.gov.au/publications/rdp/2020/2020-01/appendix-d.html

Appendix B: Derivation of Estimators

28 Jan 2020 RDP 2020-01
Benjamin Beckers
1. ,. π. t. ). var. (. r. t. 1. ). =. cov. (. r. t. 1. ,. α. ϕ. 1. r. ... m. t. 1. ,. Z. t. 1. ). var. (. m. t. 1. ). =. ϕ. 1. cov. (. m. t.
https://www.rba.gov.au/publications/rdp/2020/2020-01/appendix-b.html

References

28 Jan 2020 RDP 2020-01
Benjamin Beckers
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/2020/2020-01/references.html

Robustness to Model Misspecification and the GFC Episode

28 Jan 2020 RDP 2020-01
Benjamin Beckers
An alternative explanation for the emergence of the price puzzle is that the SVAR model is misspecified. ... function, but also an important channel for the transmission of monetary policy typically omitted from the VAR model.
https://www.rba.gov.au/publications/rdp/2020/2020-01/robustness-to-model-misspecification-and-the-gfc-episode.html

Biased Romer and Romer Estimates – The Role of Credit Spreads

28 Jan 2020 RDP 2020-01
Benjamin Beckers
t. (e.g. unemployment or output as captured by a standard VAR model),. ... the set of indicators and add these factors to the VAR model (Bernanke, Boivin and Eliasz 2005).
https://www.rba.gov.au/publications/rdp/2020/2020-01/biased-romer-and-romer-estimates-the-role-of-credit-spreads.html

Introduction

28 Jan 2020 RDP 2020-01
Benjamin Beckers
It should be noted that my estimates suggest smaller cash rate effects than recent estimates from a factor augmented VAR model by Hartigan and Morley (2018). ... Providing external validity to models like MARTIN is important since the dynamic properties
https://www.rba.gov.au/publications/rdp/2020/2020-01/introduction.html

Appendix A: Literature Review

28 Jan 2020 RDP 2020-01
Benjamin Beckers
Small price puzzle in unrestricted model, strong and significant puzzle in restricted model. ... Bishop and Tulip (2017). Univariate models and SVARs, various specifications, Romer and Romer (2004) identification, 1994:Q2–2015:Q4.
https://www.rba.gov.au/publications/rdp/2020/2020-01/appendix-a.html

The Effects of Monetary Policy Shocks on Inflation, Unemployment and Output

28 Jan 2020 RDP 2020-01
Benjamin Beckers
variables to a cash rate shock as implied by MARTIN, the Bank's macroeconometric model. ... This suggests that the price puzzle does not emerge due to a misspecification of the reduced-form VAR dynamics.
https://www.rba.gov.au/publications/rdp/2020/2020-01/the-effects-of-monetary-policy-shocks-on-inflation-unemployment-and-output.html