Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis | Conference – 2011
16 Aug 2011
Conferences
Macroeconomic models provide an alternative approach. An alternative way of estimating growth spillovers is to use results from an empirically estimated macroeconomic model. ... It is worth stressing that this is a typical result from conventional
https://www.rba.gov.au/publications/confs/2011/bayoumi-bui.html
Models of the Short-run Phillips Curve | RDP 9706 Is the Phillips Curve A Curve? Some Evidence and Implications for Australia
1 Oct 1997
RDP
9706
Models of the Short-run Phillips Curve. Guy Debelle, James Vickery. October 1997. ... Roberts (1997) derives similar conclusions from a model of less-than-perfectly rational expectations.
https://www.rba.gov.au/publications/rdp/1997/9706/models-short-run-phillips-curve.html
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Appendix A: Technical Details
1 Oct 2017
RDP
2017-06
The Teräsvirta-Yang test for linearity versus the STVAR model can be performed as follows:. ... Given that the model is highly nonlinear in its parameters, several local optima might be present.
https://www.rba.gov.au/publications/rdp/2017/2017-06/appendix-a.html
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The Model's Properties
1 Nov 1995
RDP
9510
Equation (17) embeds the mark-up model (2) in its static long-run solution p. ... models of the Australian CPI are in differences only and require substantially longer lags.
https://www.rba.gov.au/publications/rdp/1995/9510/models-properties.html
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
21 Sep 2023
RDP
2023-09
For example, many models, including Woodford (2005), model investment using convex adjustment costs, leading to smooth investment. ... 100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log)
https://www.rba.gov.au/publications/rdp/2023/2023-09/full.html
The Model
27 Feb 2018
RDP
2018-02
It is a joint model of the nominal and real term structures of interest rates. ... n. are functions of the underlying model parameters (see Appendix A for further details).
https://www.rba.gov.au/publications/rdp/2018/2018-02/the-model.html
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Forecasting Australian Economic Activity Using Leading Indicators
1 Apr 2000
RDP
2000-02
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2000/2000-02.html
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A Small Open Economy DSGE Model
31 Dec 2010
RDP
2010-02
Download the Paper 280. KB. This section sketches the building blocks of the small open economy dynamic stochastic general equilibrium (DSGE) model that we estimate. ... We represent the foreign economy as an unrestricted VAR(1) of output, inflation and
https://www.rba.gov.au/publications/rdp/2010/2010-02/small-open-economy.html
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Cost-benefit Analysis of Leaning against the Wind
1 Jul 2019
RDP
2019-05
Both scenarios are generated by the AUS-M model maintained by Outlook Economics. ... We also experimented with other VARs used for operational work within the RBA.
https://www.rba.gov.au/publications/rdp/2019/2019-05/full.html
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References
19 Dec 2023
RDP
2023-09
Place: A Macroeconometric Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07. ... Plagborg-Møller M and CK Wolf (2021), ‘Local Projections and VARs Estimate the Same Impulse Responses’, Econometrica, 89(2), pp 955-980.
https://www.rba.gov.au/publications/rdp/2023/2023-09/references.html