Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Monetary Policy and Financial Stability | Conference – 2017
16 Mar 2017
Conferences
These models take into account some financial distortions, as well as heterogeneous agents. ... This estimate is broadly consistent with those obtained using vector autoregression (VAR) models to estimate the transmission of monetary policy.
https://www.rba.gov.au/publications/confs/2017/dell-ariccia-habermeier-haksar-mancini-griffoli.html
Declining Output Volatility: What Role for Structural Change? | Conference – 2005
11 Jul 2005
Conferences
Perotti (2005), using structural VAR models for Australia, Canada, Germany, the UK and the US, finds that the magnitude of fiscal shocks declined around the early 1980s and that the transmission ... 2. for Model 1a is 0.212. Direct structural measures.
https://www.rba.gov.au/publications/confs/2005/kent-smith-holloway.html
Discussion of The Consequences of Low Interest Rates for the Australian Banking Sector
29 Dec 2022
Conferences
PDF
417KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-brassil-discussion.pdf
Key Elements of Global Inflation | Conference – 2009
17 Aug 2009
Conferences
that is, a VAR model augmented by weakly exogenous variables), with each country model comprising domestic and foreign variables. ... The data are monthly. After estimating each of the country models, the results are connected through link matrices and
https://www.rba.gov.au/publications/confs/2009/anderton-galesi-lombardi-dimauro.html
Funding Flows and Credit in Carry Trade Economies
19 Dec 2013
Conferences
PDF
320KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/mirandaagrippino-rey.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
The Role of the Exchange Rate in Monetary Policy - the Experience of Other Countries
12 Feb 2007
Conferences
PDF
178KB
RBA Conference Volume 1993
https://www.rba.gov.au/publications/confs/1993/pdf/artis.pdf
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
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 Changing Nature of the Business Cycle: Proceedings of a Conference
23 May 2007
Conferences
PDF
2153KB
RBA Conference Volume 2005
https://www.rba.gov.au/publications/confs/2005/pdf/conf-vol-2005.pdf