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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Robust Design Principles for Monetary Policy Committees
10 Feb 2020
Conferences
PDF
1517KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-archer-levin.pdf
The Sub-prime Crisis: Causal Distortions and Regulatory Reform | Conference – 2008
14 Jul 2008
Conferences
The FSF focuses on strengthening models and procedures. This has to be supported as an important ‘conditioning factor’. ... For the mathematical model underlying the Basel approach (I or II), each exposure's contribution to value-at-risk (VAR) is
https://www.rba.gov.au/publications/confs/2008/blundell-wignall-atkinson.html
Lessons from the Financial Turmoil of 2007 and 2008: Proceedings of a Conference
24 Oct 2008
Conferences
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1049KB
RBA Conference Volume 2008
https://www.rba.gov.au/publications/confs/2008/pdf/conf-vol-2008.pdf
International Business Cycle Co-movements through Time | Conference – 2005
11 Jul 2005
Conferences
Notes: All models are estimated as DOLS models with 4 leads and lags. ... For the euro area, we do not need to control for monetary policy in order to obtain a valid model, but inclusion of the variable leads to valid models for all
https://www.rba.gov.au/publications/confs/2005/andrews-kohler.html
The Sub-prime Crisis: Causal Distortions and Regulatory Reform
22 Oct 2008
Conferences
PDF
270KB
RBA Conference Volume 2008
https://www.rba.gov.au/publications/confs/2008/pdf/blundell-wignall-atkinson.pdf
The Role of the Exchange Rate in Monetary Policy – the Experience of Other Countries | Conference – 1993
12 Jul 1993
Conferences
This gave way after around 1983 (the year of the ‘Mitterand U-turn’) to the asymmetric model. ... The credibility model was seen as requiring that no nominal devaluations should be undertaken.
https://www.rba.gov.au/publications/confs/1993/artis.html
Monetary Policy and Financial Stability
10 Feb 2020
Conferences
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1844KB
RBA Conference Volume 2017
https://www.rba.gov.au/publications/confs/2017/pdf/rba-conference-volume-2017-dellariccia-habermeier-haksar-mancini-griffoli.pdf
Liquidity and Funding Markets
6 Jan 2014
Conferences
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4842KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/conf-vol-2013.pdf
Is Monetary Policy Less Effective When Interest Rates Are Persistently Low?
10 Feb 2020
Conferences
PDF
1690KB
RBA Conference Volume 2017
https://www.rba.gov.au/publications/confs/2017/pdf/rba-conference-volume-2017-borio-hofmann.pdf
Conference on Money and Credit: Summary of Discussion | Conference – 1989
20 Jun 1989
Conferences
One participant suggested that drawing stylised facts from Vector Auto-Regression (VAR) models of this type presents some difficulties, in the sense that the results are model-dependent, and the techniques ... The aim is to find a rule which has
https://www.rba.gov.au/publications/confs/1989/summary-of-discussion.html