Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Model Designs
31 Dec 2011
RDP
2011-04
t1. ) and other model variables (w. t. ), that is, they have the structure. ... Iacoviello (2005) estimates a model based on these ideas. The loan-to-value ratio need not be fixed (although it is in many models, such as Iacoviello (2005)) and could be
https://www.rba.gov.au/publications/rdp/2011/2011-04/model-designs.html
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Managing Market Risk in Banks
17 Jun 2003
Bulletin
PDF
44KB
Leadinginternational banks have begun to model theseliquidity effects in more detail and incorporatethem directly into their VaR models, althoughthis work is still at a relatively early stage. ... pricemovements that pose the greatest risks tofinancial
https://www.rba.gov.au/publications/bulletin/1996/dec/pdf/bu-1296-1.pdf
Appendix A: Testing the Intertemporal Model
31 Dec 2007
RDP
2007-02
RDP 2007-02: Current Account Deficits: The Australian Debate Appendix A: Testing the Intertemporal Model. ... t. are subject to measurement error. This model is easily generalised to incorporate higher order VARs.
https://www.rba.gov.au/publications/rdp/2007/2007-02/appendix-a.html
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Cyclical Labour Market Adjustment in Australia
17 Mar 2016
Bulletin
– March 2016
Since the late 1990s, a larger share of labour market adjustment in Australia has come about via changes in average hours worked, as opposed to changes in the number of people employed. Much of this is likely to reflect that the economic downturns
https://www.rba.gov.au/publications/bulletin/2016/mar/2.html
Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
21 Sep 2023
RDP
2023-09
For example, many models, including Woodford (2005), model investment using convex adjustment costs, leading to smooth investment. ... 100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log)
https://www.rba.gov.au/publications/rdp/2023/2023-09/full.html
Bulletin
17 Apr 2024
Bulletin
- April 2024
PDF
7253KB
https://www.rba.gov.au/publications/bulletin/2024/apr/pdf/bulletin-2024-04.pdf
Start Spreading the News: News Sentiment and Economic Activity in Australia
21 Dec 2020
RDP
PDF
1524KB
Similarly,. we run a VAR model to estimate the impulse responses to a news uncertainty shock. ... uncertainty using VAR and LP are both qualitatively and quantitatively comparable (Figures 13.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-08.pdf
Cost-benefit Analysis of Leaning against the Wind
1 Jul 2019
RDP
2019-05
Both scenarios are generated by the AUS-M model maintained by Outlook Economics. ... We also experimented with other VARs used for operational work within the RBA.
https://www.rba.gov.au/publications/rdp/2019/2019-05/full.html
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Appendix A: Technical Details
1 Oct 2017
RDP
2017-06
The Teräsvirta-Yang test for linearity versus the STVAR model can be performed as follows:. ... Given that the model is highly nonlinear in its parameters, several local optima might be present.
https://www.rba.gov.au/publications/rdp/2017/2017-06/appendix-a.html
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The Model's Properties
1 Nov 1995
RDP
9510
Equation (17) embeds the mark-up model (2) in its static long-run solution p. ... models of the Australian CPI are in differences only and require substantially longer lags.
https://www.rba.gov.au/publications/rdp/1995/9510/models-properties.html
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