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
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
model the future path of interest rates and premia based on data on yields. ... Our baseline VAR is estimated (using ordinary least squares) at a monthly frequency.
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
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Measurement with Some Theory: Using Sign Restrictions to Evaluate Business Cycle Models
3 Dec 2007
Research Workshop
PDF
444KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/canova.pdf
Managing Market Risk in Banks
10 Dec 1996
Bulletin
– December 1996
Leading international banks have begun to model these liquidity effects in more detail and incorporate them directly into their VaR models, although this work is still at a relatively early stage. ... There is no doubt that this characteristic makes VaR
https://www.rba.gov.au/publications/bulletin/1996/dec/1.html
The VAR Methodology
1 May 1986
RDP
8604
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8604/var-methodology.html
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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
Estimation and Solution of Models with Expectations and Structural Changes
19 Dec 2012
RDP
2012-08
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2012/2012-08.html
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Bulletin June Quarter 2023
29 Sep 2023
Bulletin
- June 2023
PDF
7089KB
https://www.rba.gov.au/publications/bulletin/2023/jun/pdf/bulletin-2023-06.pdf
Start Spreading the News: News Sentiment and Economic Activity in Australia
23 Dec 2020
RDP
2020-08
7. Robustness Tests and Extensions. We test for the robustness of estimated impulse responses in Section 5.2 using a multivariate VAR model which includes the current and lags of change ... Similarly, we run a VAR model to estimate the impulse responses
https://www.rba.gov.au/publications/rdp/2020/2020-08/full.html
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Structural Evolution of the Postwar U.S. Economy
12 Dec 2013
Research Workshop
PDF
950KB
Reserve Bank of Australia Workshop 2013
https://www.rba.gov.au/publications/workshops/research/2013/pdf/liu-morley.pdf