Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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An Empirical BVAR-DSGE Model of the Australian Economy
2 Feb 2015
RDP
PDF
657KB
3. Estimating the Models 8. 3.1 Estimating the DSGE Model 83.1.1 Estimating the large economy Minnesota VAR 83.1.2 DSGE calibration 103.1.3 DSGE posterior 12. ... 3.3 Estimating the Benchmark Models 173.3.1 The small open economy Minnesota VAR 17.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-07.pdf
Identification and Inference under Narrative Restrictions
20 Oct 2023
RDP
PDF
1128KB
The initial conditions. (y1p,. ,y0) are given. The reduced-form VAR(p) representation is. ... the likelihood of the reduced-form VAR), whichdepends only on ϕϕϕ and the data.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-07.pdf
Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions
29 Dec 2022
RDP
PDF
1886KB
known problems with conducting Bayesian inference in set-identified models; in particular, a. ... 3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-09.pdf
Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Dec 2009
RDP
PDF
400KB
Many banks that use VaR models routinely perform simple comparisons of dailyprofits and losses with model-generated risk measures to gauge the accuracy of theirrisk measurement systems. ... It should be kept in mind that shortcomings in the construction
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf
Discussion of Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
PDF
544KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-discussion-presentation.pdf
Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
13 Feb 2024
RDP
PDF
1260KB
Using. a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative. ... In part,. this appears to reflect our use of a local projection model instead of a VAR.
https://www.rba.gov.au/publications/rdp/2024/pdf/rdp2024-01.pdf
Read me file for Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
10 Dec 2023
RDP
PDF
160KB
RDP 2023-09 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-09/rdp-2023-09-read-me.pdf
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 May 2023
RDP
PDF
1465KB
4. The Effects of Monetary Policy Shocks 16. 4.1 Monthly VAR 18. ... form VAR. More precisely, we consider the following proxy SVAR model (see also Doko Tchatoka and.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.pdf
The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
6 Oct 2022
RDP
PDF
2224KB
approach to conducting Bayesian inference in set-identified models, because it eliminates the. ... approach to Bayesian inference in set-identified models. In particular, because the model is.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-04.pdf
Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
3 May 2023
RDP
PDF
247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf