Search: VAR models

Sort by: Relevance Date
51–60 of 1,211 search results for VAR models

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

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

Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!

3 May 2023 RDP PDF 247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf

Appendix A: Technical Details

1 Oct 2017 RDP 2017-06
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
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
See 12 more results from "RDP 2017-06"

Cost-benefit Analysis of Leaning against the Wind

1 Jul 2019 RDP 2019-05
Trent Saunders and Peter Tulip
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
See 7 more results from "RDP 2019-05"

The Model's Properties

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
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
See 12 more results from "RDP 9510"

Credit Spreads, Monetary Policy and the Price Puzzle

1 Jan 2020 RDP 2020-01
Benjamin Beckers
t. (e.g. unemployment or output as captured by a standard VAR model),. ... However, adding this broad range of indicators to the VAR model is not feasible without applying some dimension reduction technique.
https://www.rba.gov.au/publications/rdp/2020/2020-01/full.html
See 12 more results from "RDP 2020-01"

The Model

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
It is a joint model of the nominal and real term structures of interest rates. ... n. are functions of the underlying model parameters (see Appendix A for further details).
https://www.rba.gov.au/publications/rdp/2018/2018-02/the-model.html
See 17 more results from "RDP 2018-02"

Financial Intermediaries

10 Mar 2006 FSR – March 2006
VaR models use the distribution of historical price changes to estimate the potential for future losses, relative to a confidence level. ... A confidence level of 99 per cent, for example, indicates a 99 per cent probability that losses will not exceed
https://www.rba.gov.au/publications/fsr/2006/mar/fin-intermed.html

Co-movement in Inflation

28 Jan 2015 RDP PDF 814KB
In this paper we use a panel vector autoregression (panel VAR) model to investigate possible explanations of this co-movement for the G7 economies. ... 4. Results. This section presents the key results from the panel VAR model.
https://www.rba.gov.au/publications/rdp/2012/pdf/rdp2012-01.pdf

DSGE Reno: Adding a Housing Block to a Small Open Economy Model

11 Jun 2018 RDP PDF 1710KB
model without housing. These regularities include the sensitivity of housing investment to interest. ... models – we show that our model does a good job in capturing aggregate and housing sector.
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-04.pdf