Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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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
Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
2 Dec 2008
Research Workshop
PDF
440KB
Reserve Bank of Australia Workshop 2008: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2008/nason.pdf
1 READ ME FILE Paper title: DSGE Reno: Adding ...
3 Apr 2018
RDP
PDF
328KB
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’. ... Existing results are stored in VAR_model_1, VAR_model_2, VAR_model_3 and VAR_model_4. Bayesian IRFs:.
https://www.rba.gov.au/publications/rdp/2018/2018-04/rdp-2018-04-read-me.pdf
The Relationship Between Financial Indicators and Economic Activity: Some Further Evidence | Conference – 1989
20 Jun 1989
Conferences
The two sets of results are discussed in turn. Each VAR model includes four lags of each variable. ... This section uses VAR models to look at some of these channels.
https://www.rba.gov.au/publications/confs/1989/stevens-thorp.html
Cost-benefit Analysis of Leaning against the Wind
5 Jul 2019
RDP
PDF
1512KB
unemployment rate taken from, for example, a structural macroeconomic model. A quadratic loss. ... 2 per cent over a two to four year period, depending on the model.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-05.pdf
Forecasting Australian Economic Activity Using Leadership Indicators
1 Dec 2009
RDP
PDF
338KB
Althoughnot uniform across all forecast horizons, generally the simple AR(p) model withtrend performs at least as well as the VAR models. ... At all horizons,both the single variable model and the VAR models with index perform roughlythe same.
https://www.rba.gov.au/publications/rdp/2000/pdf/rdp2000-02.pdf
Forecasting Australian Economic Activity Using Leading Indicators
1 Apr 2000
RDP
2000-02
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2000/2000-02.html
See 6 more results from "RDP 2000-02"
Research Workshop – 2007
18 Dec 2007
Research Workshop
The Reserve Bank of Australia 2007 research workshop, 'Monetary Policy in Open Economies'
https://www.rba.gov.au/publications/workshops/research/2007/
The Role of International Shocks in Australia’s Business Cycle
2 Dec 2009
RDP
PDF
372KB
the Beveridge-Nelsondecomposition and a structural VAR model is identified using robust signrestrictions derived from a small open economy model. ... The small openeconomy assumption is imposed on the VAR model by restricting the impact ofdomestic
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-08.pdf
References
19 Dec 2023
RDP
2023-09
Place: A Macroeconometric Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07. ... Plagborg-Møller M and CK Wolf (2021), ‘Local Projections and VARs Estimate the Same Impulse Responses’, Econometrica, 89(2), pp 955-980.
https://www.rba.gov.au/publications/rdp/2023/2023-09/references.html