Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Appendix E: What Does the Empirical VAR Capture?
31 Dec 2013
RDP
2013-10
To do this, we compare impulse responses from our empirical VAR estimated using simulated data to the impulse responses to exogenous terms of trade volatility shocks generated by our model. ... Despite its linear structure, the VAR comes extremely close
https://www.rba.gov.au/publications/rdp/2013/2013-10/appendix-e.html
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
7 Jan 2024
RDP
PDF
1715KB
macroeconomic models. For example, many models, including Woodford (2005), model investment. ... local projection model using (log) aggregate real non-mining investment (gross fixed capital.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-09.pdf
Incorporating judgement with DSGE models
13 Dec 2007
Research Workshop
PDF
198KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/binning.pdf
A Small BVAR-DSGE Model for Forecasting the Australian Economy
10 Feb 2009
RDP
PDF
599KB
VAR. The forecasting performance of themodel is competitive with benchmark models such as a Minnesota VAR and anindependently estimated DSGE model. ... 2. prior.3 While the Minnesota prior has aided the forecasting ability of VAR models,it is a purely
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-04.pdf
Meet MARTIN, the RBA's new macroeconomic model
15 Mar 2018
Bulletin
– March 2018
suite of vector autoregression (VAR) models described in Gerard and Nimark (2008). ... Likewise, the VAR models are used to produce forecasts each quarter as an input into the forecasting process.
https://www.rba.gov.au/publications/bulletin/2018/mar/meet-martin-the-rbas-new-macroeconomic-model.html
Oil Price Shocks, Monetary Policy and Stagflation
10 May 2010
Conferences
PDF
329KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/kilian.pdf
VAR Estimation Results
1 Jun 1989
RDP
8903
The two sets of results are discussed in turn. Each VAR model includes four lags of each variable. ... M1 leads nominal GDP in the 1978–88 period. Table 2 shows results for three-variable VARs, where the bill rate is included in every model.
https://www.rba.gov.au/publications/rdp/1989/8903/var-estimation-results.html
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The VAR Methodology
1 Jul 1986
RDP
8608
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/1986/8608/var-methodology.html
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The Sources of Fluctuations in Residential Investment: A View from a Policy-Oriented DSGE Model of the U.S. Economy
2 Dec 2008
Research Workshop
PDF
303KB
Reserve Bank of Australia Workshop 2008: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2008/edge.pdf
Identification and Inference under Narrative Restrictions
20 Oct 2023
RDP
PDF
1128KB
The initial conditions. (y1p,. ,y0) are given. The reduced-form VAR(p) representation is. ... the likelihood of the reduced-form VAR), whichdepends only on ϕϕϕ and the data.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-07.pdf