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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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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

Expectations and the Neutrality of Interest Rates

27 Nov 2023 Conferences PDF 477KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-cochrane.pdf

Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis | Conference – 2011

16 Aug 2011 Conferences
Tamim Bayoumi and Trung Bui
Macroeconomic models provide an alternative approach. An alternative way of estimating growth spillovers is to use results from an empirically estimated macroeconomic model. ... It is worth stressing that this is a typical result from conventional
https://www.rba.gov.au/publications/confs/2011/bayoumi-bui.html

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
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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
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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
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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
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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
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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