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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
Giovanni Dell'Ariccia, Karl Habermeier, Vikram Haksar and Tommaso Mancini-Griffoli
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
Christopher Kent, Kylie Smith and James Holloway
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

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

Key Elements of Global Inflation | Conference – 2009

17 Aug 2009 Conferences
Robert Anderton, Alessandro Galesi, Marco Lombardi and Filippo di Mauro
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
Adrian Blundell-Wignall and Paul Atkinson
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 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

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
Dan Andrews and Marion Kohler
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