Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The Australian Financial System
8 Apr 2021
FSR
– April 2021
Consistent with this, the RBA's reverse stress testing model implies that it would take a recession comparable to the Great Depression for CET1 capital ratios to fall below ... The revised expectations place a greater focus on the longer-term
https://www.rba.gov.au/publications/fsr/2021/apr/australian-financial-system.html
Box C: Equity Raisings and Company Gearing
10 Sep 2009
FSR
– September 2009
Geared companies that are comfortable with their leverage : Some companies have been able to sustain business models involving a high gearing ratio due to more stable cash flows, in general, than ... current circumstances or the sustainability of their
https://www.rba.gov.au/publications/fsr/2009/sep/box-c.html
Assessing Full Employment in Australia
18 Apr 2024
Bulletin
– April 2024
Full employment is a longstanding objective of monetary policy in Australia, alongside price stability.
https://www.rba.gov.au/publications/bulletin/2024/apr/assessing-full-employment-in-australia.html
Box B: The ABX.HE Credit Default Swap Indices
10 Mar 2008
FSR
– March 2008
sustained on the underlying RMBS, which is prompting some to question the use of these indices in valuation models. ... Those questioning the use of ABX.HE indices in valuation models have also focused on the fact that the indices capture only a very
https://www.rba.gov.au/publications/fsr/2008/mar/box-b.html
Box A: Financial Guaranty Insurers (Monolines)
10 Mar 2008
FSR
– March 2008
The cornerstone of the FGI business model has been their high credit ratings – typically AAA – since this underpins the value of the insurance, or credit protection, provided to investors.
https://www.rba.gov.au/publications/fsr/2008/mar/box-a.html
Statement on Monetary Policy
10 Nov 2000
Bulletin
– November 2000
Reserve Bank Bulletin – November 2000 Statement on Monetary Policy. Download the complete Statement 701. KB. The Australian economy has continued to record a strong performance during 2000. While many of the economic statistics have been affected
https://www.rba.gov.au/publications/bulletin/2000/nov/1.html
Semi-Annual Statement on Monetary Policy
10 Nov 1998
Bulletin
– November 1998
Graph 6. The Bank never subscribed to this ‘yen-bloc’ view of the Australian dollar, as the model underlying it seemed to be flawed to the extent that the economic performance
https://www.rba.gov.au/publications/bulletin/1998/nov/1.html
Box B: Australian Major Banks' Cost-to-income Ratios
10 Sep 2014
FSR
– September 2014
their business models away from those activities somewhat, consistent with the better performance and efficiency of banks with a more commercial banking model. ... Settlements. The New Zealand subsidiaries have similar business models to their Australian
https://www.rba.gov.au/publications/fsr/2014/sep/box-b.html
2024
18 Jan 2024
Bulletin
Insights into the economy and financial system from teams throughout the Reserve Bank of Australia
https://www.rba.gov.au/publications/bulletin/2024/
Foreign Exchange Market Intervention
10 Dec 2011
Bulletin
– December 2011
changes. GARCH models explicitly estimate this relationship and in so doing are able to estimate more accurate standard errors than an ordinary least squares approach. ... Variations of this standard GARCH model, for example an Exponential-GARCH, did not
https://www.rba.gov.au/publications/bulletin/2011/dec/7.html