Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
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
Robustness to Model Misspecification and the GFC Episode
28 Jan 2020
RDP
2020-01
An alternative explanation for the emergence of the price puzzle is that the SVAR model is misspecified. ... function, but also an important channel for the transmission of monetary policy typically omitted from the VAR model.
https://www.rba.gov.au/publications/rdp/2020/2020-01/robustness-to-model-misspecification-and-the-gfc-episode.html
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References
1 Dec 1999
RDP
1999-11
Bagliano, F.C. and C.A. Favero (1997), ‘Measuring Monetary Policy with VAR Models: An Evaluation’, CEPR Discussion Paper No. ... 9214. Robertson, J.C. and E.W. Tallman (1999), ‘Prior Parameter Uncertainty: Some Implications for Forecasting and
https://www.rba.gov.au/publications/rdp/1999/1999-11/references.html
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Model
23 Nov 2016
RDP
2016-08
Like other canonical models of the US economy, such as that in Smets and Wouters (2007), this model features a neoclassical core augmented by shocks and frictions that help to explain ... In the model, the growth rate of TFP, z. t. , follows the
https://www.rba.gov.au/publications/rdp/2016/2016-08/model.html
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A Sectoral Model of the Australian Economy
16 May 2008
RDP
2008-01
We deal with this in our sensitivity analysis by comparing the results from our baseline model to those from models estimated over two shorter sub-samples. ... Correct specification of the model also requires the inclusion of the appropriate number of
https://www.rba.gov.au/publications/rdp/2008/2008-01/sec-aus-economy.html
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Modelling the Role of Credit Frictions in the Australian Economy
31 Dec 2012
RDP
2012-02
A non-recursive identification scheme is used in this paper. 4.2 Model Specification. ... The logs of major trading partner GDP, Australian GNE, Australian GDP and business credit are detrended using a deterministic trend before entering the structural
https://www.rba.gov.au/publications/rdp/2012/2012-02/modelling-role-credit-frictions-aus-economy.html
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