Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Uncertainty and Monetary Policy in Good and Bad Times
12 Oct 2017
RDP
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1508KB
regards the linear version of the VAR model, for which an extensive literature on optimal lag. ... selection in VARs is available. Given the high nonlinearity of the model, we estimate it by.
https://www.rba.gov.au/publications/rdp/2017/pdf/rdp2017-06.pdf
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
22 Feb 2018
RDP
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1672KB
structure model (ATSM). These models are widely used by policymakers and academics, and have. ... We start by outlining the model that we will use in this paper.
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-02.pdf
Terms of Trade Shocks and Incomplete Information
2 Feb 2015
RDP
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940KB
2.2 Information Structure 12. 2.3 Model Solution 14. 3. Estimation 14. ... A number of papers have examined these relationships empirically.Otto (2003) constructs structural VAR models for a number of small openeconomies to examine the effect of
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-09.pdf
Measuring Economic Uncertainty and Its Effects
22 Feb 2016
RDP
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1096KB
4.1 Monthly VAR 18. 4.1.1 Does foreign or domestic uncertainty matter? ... 20. 4.2 Quarterly VAR 21. 4.3 Comparison to Other Literature 22.
https://www.rba.gov.au/publications/rdp/2016/pdf/rdp2016-01.pdf
Reserves of Natural Resources in a Small Open Economy
2 Feb 2015
RDP
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862KB
Nevertheless, in view of the theoretical model’s overallability to match the VAR IRFs, we use these GMM estimates to help parameteriseboth the partial and general equilibrium models discussed below. ... Model— VAR. % Resource prices. -4. 0. 4. -3. 0.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-14.pdf
The Information Content of Financial Aggregates in Australia
1 Dec 2009
RDP
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278KB
To perform the out-of-sample forecast evaluations, VAR models with and without afinancial aggregate are estimated over the sample period up until the first forecastingperiod. ... Figures 6 and 7 illustratethat the forecasts from both VAR models generally
https://www.rba.gov.au/publications/rdp/1996/pdf/rdp9606.pdf
Term Structure Rules for Monetary Policy
19 Apr 2006
RDP
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315KB
Finally, to close the model we need assumptions about the behaviour ofthe monetary authority. ... objective and simultaneously satisfies the model’s structural equations at eachpoint in time.
https://www.rba.gov.au/publications/rdp/2006/pdf/rdp2006-02.pdf
Exchange Rate Regimes and the Volatility of Financial Prices: The Australian Case
19 Nov 2012
RDP
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918KB
those parts attributable to domestic and external sources. A VAR model is. ... A VAR model is estimated for both the pre- and post-float periods, on daily data.
https://www.rba.gov.au/publications/rdp/1986/pdf/rdp8608.pdf
The Rise in Household Liquidity
24 Nov 2021
RDP
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1793KB
theoretical models to better understand why households hold such a high share of their wealth in. ... intertemporal consumption model in which households make two decisions: 1) how much of their.
https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-10.pdf
A Sectoral Model of the Australian Economy
13 May 2008
RDP
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220KB
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. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-01.pdf