Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Stochastic Terms of Trade Volatility in Small Open Economies
2 Feb 2015
RDP
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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
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
Credit Spreads, Monetary Policy and the Price Puzzle
23 Jan 2020
RDP
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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
Online Appendices: A Model of the Australian Housing Market
5 Mar 2019
RDP
PDF
1184KB
RDP 2019-01 online appendices
https://www.rba.gov.au/publications/rdp/2019/2019-01/rdp-2019-01-online-appendices.pdf
Inflation in an Era of Relative Price Shocks: Proceedings of a Conference
12 May 2010
Conferences
PDF
2491KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/conf-vol-2009.pdf
The Debate on Alternatives for Monetary Policy in Australia
7 Dec 2006
Conferences
PDF
85KB
RBA Conference Volume 1997
https://www.rba.gov.au/publications/confs/1997/pdf/edey.pdf
Discussion of The Consequences of Low Interest Rates for the Australian Banking Sector
29 Dec 2022
Conferences
PDF
417KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-brassil-discussion.pdf
Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis
13 Dec 2011
Conferences
PDF
8780KB
RBA Conference Volume 2011
https://www.rba.gov.au/publications/confs/2011/pdf/bayoumi-bui.pdf
Credit and Monetary Policy: An Australian SVAR
30 Sep 2005
RDP
PDF
204KB
The preference for VARs in levels can be explained, at least in part,by a reluctance to impose possibly incorrect restrictions on the model.5 Evenwith I(1) variables, the residuals ... so a different structural shock must be applied in each case
https://www.rba.gov.au/publications/rdp/2005/pdf/rdp2005-06.pdf
Jobs or Hours? Cyclical Labour Market Adjustment in Australia
7 Sep 2017
RDP
PDF
1259KB
= 1 600). The results from VAR models can be sensitive to the variables included and the structure of the VAR,. ... that should, in theory, be related to it. That said, the VAR model provides some tentative evidence.
https://www.rba.gov.au/publications/rdp/2016/pdf/rdp2016-06.pdf