Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
A Suite of Models
16 May 2008
RDP
2008-02
The BVAR shrinks the parameters on integrated variables in an unrestricted VAR towards the univariate random walk model. ... Each model is briefly presented below along with an overview of how the individual models are estimated.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html
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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
The FRB/US Model
10 Dec 2014
RDP
2014-02
I use the FRB/US model of the US economy, one of the main macroeconometric models used at the Federal Reserve Board of Governors. ... More important, Coenen et al (2012, Figure 7) find that FRB/US multipliers are similar to those of recent DSGE models,
https://www.rba.gov.au/publications/rdp/2014/2014-02/model.html
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Appendix B: Aggregate Data Results
19 Dec 2023
RDP
2023-09
100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log) consumption, (log) non-mining business investment, (log) dwelling investment and cash rate. ... Difference between leader and other firm. Notes:
https://www.rba.gov.au/publications/rdp/2023/2023-09/appendix-b.html
References
3 Jan 2023
RDP
2022-09
Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR Models’, RBA Research
https://www.rba.gov.au/publications/rdp/2022/2022-09/references.html
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Anticipatory Monetary Policy and the ‘Price Puzzle’
18 May 2017
RDP
PDF
2157KB
Media Office: rbainfo@rba.gov.au. Abstract. Vector autoregression (VAR) models often find that inflation increases in response to a tightening in monetary policy, although standard macroeconomics predicts the opposite. ... Sources: ABS; Authors’
https://www.rba.gov.au/publications/rdp/2017/pdf/rdp2017-02.pdf
An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?
1 Sep 1998
RDP
9812
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1998/9812.html
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References
31 Dec 2007
RDP
2007-01
An S and F Schorfheide (forthcoming), ‘Bayesian Analysis of DSGE Models’, Econometric Review. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, The Economic Record, 76(235), pp 321–342.
https://www.rba.gov.au/publications/rdp/2007/2007-01/references.html
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
22 Dec 2023
RDP
2023-09
Figure B1 vars.wf1 – Eviews 13 workfile with VAR models for Figure B1.
https://www.rba.gov.au/publications/rdp/2023/2023-09/read-me.html
The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
11 Oct 2022
RDP
2022-04
3.1 Identified sets for impulse responses to unit shocks. The model is. ... model, which implies that this equation can be interpreted as a supply curve and.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html
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