Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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References
3 Jan 2023
RDP
2022-09
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/2022/2022-09/references.html
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
22 Dec 2023
RDP
2023-09
Figure B1 vars.wf1 – Eviews 13 workfile with VAR models for Figure B1.
https://www.rba.gov.au/publications/rdp/2023/2023-09/read-me.html
Financial Intermediaries
10 Mar 2006
FSR
– March 2006
VaR models use the distribution of historical price changes to estimate the potential for future losses, relative to a confidence level. ... A confidence level of 99 per cent, for example, indicates a 99 per cent probability that losses will not exceed
https://www.rba.gov.au/publications/fsr/2006/mar/fin-intermed.html
Model Designs
31 Dec 2011
RDP
2011-04
t1. ) and other model variables (w. t. ), that is, they have the structure. ... Iacoviello (2005) estimates a model based on these ideas. The loan-to-value ratio need not be fixed (although it is in many models, such as Iacoviello (2005)) and could be
https://www.rba.gov.au/publications/rdp/2011/2011-04/model-designs.html
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Appendix A: Testing the Intertemporal Model
31 Dec 2007
RDP
2007-02
RDP 2007-02: Current Account Deficits: The Australian Debate Appendix A: Testing the Intertemporal Model. ... t. are subject to measurement error. This model is easily generalised to incorporate higher order VARs.
https://www.rba.gov.au/publications/rdp/2007/2007-02/appendix-a.html
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The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
11 Oct 2022
RDP
2022-04
3.1 Identified sets for impulse responses to unit shocks. The model is. ... model, which implies that this equation can be interpreted as a supply curve and.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html
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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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Financial Intermediaries
10 Mar 2005
FSR
– March 2005
This is evident in the major banks' exposure to market risk through their trading operations, as measured by the average value at risk (VaR). ... Footnote. Value-at-Risk (VaR) models use the distribution of historical price changes to estimate the
https://www.rba.gov.au/publications/fsr/2005/mar/fin-intermed.html
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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