Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Financial Stability Review - September 2004
6 Jan 2005
FSR
PDF
1099KB
CONTENTS. 1 Overview. 3 The Macroeconomic and Financial Environment. 16 Box A: Credit Card Indicators. 18 Box B: The Housing Market Slowdown in the Netherlands. 21 Financial Intermediaries. 37 Box C: Measures of Housing Loan Quality. 39 Box D: The
https://www.rba.gov.au/publications/fsr/2004/sep/pdf/0904.pdf
A Structural Model of Australia as a Small Open Economy
27 Feb 2007
RDP
PDF
255KB
In addition, the model relies much less than otherestimated models on a persistent shock to the risk premium to explain changesin the nominal exchange rate. ... 16. model. Neither of these studies use trade volumes to estimate their models.
https://www.rba.gov.au/publications/rdp/2007/pdf/rdp2007-01.pdf
Measuring Core Inflation in Australia with Disaggregate Ensembles
10 May 2010
Conferences
PDF
289KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/ravazzolo-vahey.pdf
A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy
10 Feb 2020
Conferences
PDF
1902KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-hartigan-morley.pdf
Stochastic Terms of Trade Volatility in Small Open Economies
2 Feb 2015
RDP
PDF
1080KB
We then set up a small open economy realbusiness cycle model and show that it can broadly replicate the responses to avolatility shock estimated in the VAR. ... Other papers in this literature have adopted a more reduced form approach andhave examined
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-10.pdf
Asian Business Cycle Synchronisation
6 Dec 2010
Research Workshop
PDF
271KB
Reserve Bank of Australia Research Workshop 2010
https://www.rba.gov.au/publications/workshops/research/2010/pdf/he.pdf
Bulletin December Quarter 2022
8 Dec 2022
Bulletin
- December 2022
PDF
4585KB
https://www.rba.gov.au/publications/bulletin/2022/dec/pdf/bulletin-2022-12.pdf
Credit Spreads, Monetary Policy and the Price Puzzle
23 Jan 2020
RDP
PDF
1959KB
VAR model by Hartigan and Morley (2018). Providing external validity to models like MARTIN is important since the. ... 7. small-scale monetary policy VAR models to better capture the central bank’s forecasts.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-01.pdf
Financial-asset Prices and Monetary Policy: Theory and Evidence
7 Dec 2006
Conferences
PDF
536KB
RBA Conference Volume 1997
https://www.rba.gov.au/publications/confs/1997/pdf/smets.pdf
Are Inflationary Shocks Regressive? A Feasible Set Approach
19 Dec 2023
Research Workshop
PDF
842KB
RBA Workshop 2023
https://www.rba.gov.au/publications/workshops/research/2023/pdf/rba-workshop-2023-del-canto-grigsby-qian-walsh.pdf