Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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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
Box B: Lags from Activity to the Labour Market
10 May 2014
SMP
– May 2014
One approach that can provide an estimate of the magnitude of these links is a VAR model, which captures the dynamic relationships between these variables. ... The results of VAR models can be interpreted using impulse responses, which trace out how
https://www.rba.gov.au/publications/smp/2014/may/box-b.html
Research Workshop – 2007
18 Dec 2007
Research Workshop
The Reserve Bank of Australia 2007 research workshop, 'Monetary Policy in Open Economies'
https://www.rba.gov.au/publications/workshops/research/2007/
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
Research Workshop – 2012
14 Dec 2012
Research Workshop
The Reserve Bank of Australia 2012 research workshop, 'Monetary Policy in Open Economies'
https://www.rba.gov.au/publications/workshops/research/2012/
Box E: Scenario Analysis Using the MARTIN Model
8 Nov 2019
SMP
– November 2019
Statement on Monetary Policy – November 2019 Box E. Scenario Analysis Using the MARTIN Model. ... Scenario analysis involves a range of steps and requires the use of economic models.
https://www.rba.gov.au/publications/smp/2019/nov/box-e-scenario-analysis-using-the-martin-model.html
In Depth – Full Employment
6 Feb 2024
SMP
– February 2024
In Depth – Full Employment | Statement on Monetary Policy – February 2024
https://www.rba.gov.au/publications/smp/2024/feb/in-depth-full-employment.html
Outlook
6 Feb 2024
SMP
– February 2024
Outlook | Statement on Monetary Policy – February 2024
https://www.rba.gov.au/publications/smp/2024/feb/outlook.html
Box A: Effects of Low Yields on Life Insurers and Pension Funds
20 Oct 2015
FSR
– October 2015
Funding ratios below 100 per cent typically indicate underfunding and, if persistent, can signal that business models need to change to ensure that liabilities can be met when they fall due. ... Life insurance firms and defined benefit pension funds have
https://www.rba.gov.au/publications/fsr/2015/oct/box-a.html
Economic Conditions
6 Feb 2024
SMP
– February 2024
Economic Conditions | Statement on Monetary Policy – February 2024
https://www.rba.gov.au/publications/smp/2024/feb/economic-conditions.html