Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The Role of the Exchange Rate in Monetary Policy – the Experience of Other Countries | Conference – 1993
12 Jul 1993
Conferences
This gave way after around 1983 (the year of the ‘Mitterand U-turn’) to the asymmetric model. ... The credibility model was seen as requiring that no nominal devaluations should be undertaken.
https://www.rba.gov.au/publications/confs/1993/artis.html
Discussion on Funding Flows and Credit in Carry Trade Economies | Conference – 2013
19 Aug 2013
Conferences
This is especially so in the VAR analysis, which attempts to go beyond the analysis of correlations in the first two sections of the paper to ascertain some direction of causation ... Ultimately, it is difficult to answer such questions without some
https://www.rba.gov.au/publications/confs/2013/mirandaagrippino-rey-disc.html
The Debate on Alternatives for Monetary Policy in Australia | Conference – 1997
21 Jul 1997
Conferences
Recent empirical work on currency crises by Funke (1996) provides some support for these models. ... King (1996) notes that these latter considerations are hard to model but likely to be important in practice.
https://www.rba.gov.au/publications/confs/1997/edey.html
Taming the Real Estate Beast: The Effects of Monetary and Macroprudential Policies on Housing Prices and Credit | Conference – 2012
20 Aug 2012
Conferences
the 0.3 per cent to 0.9 per cent effect derived from VAR estimates. ... Naturally, including these data in a regression model requires some degree of standardisation and aggregation.
https://www.rba.gov.au/publications/confs/2012/kuttner-shim.html
The Australian Business Cycle: A Coincident Indicator Approach | Conference – 2005
11 Jul 2005
Conferences
4. Data and Estimation. The composition of the data panel is crucial when estimating a factor model. ... We interpret this model as having one lead and one lag, rather than two lags.
https://www.rba.gov.au/publications/confs/2005/gillitzer-kearns-richards.html
Designing Inflation Targets | Conference – 1997
21 Jul 1997
Conferences
Both develop general-equilibrium models in an attempt to measure the welfare-distorting impact of the inflation tax. ... There is a raft of empirical evidence addressing the transmission-lag question, much of it drawn from counterfactual VAR and
https://www.rba.gov.au/publications/confs/1997/haldane.html
Inflation and Disinflation in Australia: 1950–91 | Conference – 1992
31 Dec 1950
Conferences
The paper contains pieces of statistical work which seek to bring light to the issues, but they are not part of a completely specified model, and there is certainly no claim ... The mechanisms involved, or more particularly the mechanisms emphasised and
https://www.rba.gov.au/publications/confs/1992/stevens.html
Assessing the Sources of Changes in the Volatility of Real Growth | Conference – 2005
11 Jul 2005
Conferences
This is done by noting that: var(xy) = var(x) var(y) 2cov(x,y). ... In standard econometric analyses these will show up as the ‘monetary policy shocks’ identified from residuals in structural models.
https://www.rba.gov.au/publications/confs/2005/cecchetti-flores-lagunes-krause.html
Discussion on Business Cycle Dynamics in OECD Countries: Evidence, Causes and Policy Implications | Conference – 2005
11 Jul 2005
Conferences
One such example is Canova, Ciccarelli and Ortega (2004), where a panel VAR is estimated – using Bayesian techniques – for quarterly growth rates of GDP, employment, retail sales and industrial production in ... They estimate a dynamic factor model
https://www.rba.gov.au/publications/confs/2005/cotis-coppel-disc.html
Discussion on Assessing the Sources of Changes in the Volatility of Real Growth | Conference – 2005
11 Jul 2005
Conferences
It is immediately evident that there are three potential non-unique candidates to explain a reduction in var (Δy. ... The authors propose a simple AR(1) model to first test for breaks in persistence in output growth.
https://www.rba.gov.au/publications/confs/2005/cecchetti-flores-lagunes-krause-disc.html