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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Robustness to Alternative Specifications

29 May 2017 RDP 2017-02
James Bishop and Peter Tulip
Unlike the six-variable VAR in Figure 1, we use a more parsimonious model that contains only real GDP (in levels), underlying inflation and our measure of monetary policy shocks (in ... Response to a temporary 1 percentage point shock. Notes: VAR model;
https://www.rba.gov.au/publications/rdp/2017/2017-02/robustness-to-alternative-specifications.html

Anticipatory Monetary Policy and the ‘Price Puzzle’

1 May 2017 RDP 2017-02
James Bishop and Peter Tulip
Response to a temporary 1 percentage point shock. Notes: VAR model; Cholesky decomposition, with ordering: GDP, underlying inflation, cash rate shocks; blue bars show the cumulated response of inflation four quarters
https://www.rba.gov.au/publications/rdp/2017/2017-02/full.html

Anticipatory Monetary Policy and the ‘Price Puzzle’

22 May 2017 RDP 2017-02
James Bishop and Peter Tulip
inflation, modelling, monetary policy. Vector autoregression (VAR) models often find that inflation increases in response to a tightening in monetary policy, although standard macroeconomics predicts the opposite. ... This suggests that VARs may not be
https://www.rba.gov.au/publications/rdp/2017/2017-02.html

Introduction

29 May 2017 RDP 2017-02
James Bishop and Peter Tulip
We estimate a recursive VAR that is similar, in terms of variables and lag structure, to models used in previous Reserve Bank research (Brischetto and Voss 1999; Berkelmans 2005; Lawson and ... Section 5 contrasts our findings with those from large-scale
https://www.rba.gov.au/publications/rdp/2017/2017-02/introduction.html

Implications of Our Results

29 May 2017 RDP 2017-02
James Bishop and Peter Tulip
Until we can resolve the price puzzle in a robust way, VAR models will not give us credible estimates of the effect of the Bank's policy instrument – the cash rate – ... The existence of a price puzzle also casts serious doubts on the response of
https://www.rba.gov.au/publications/rdp/2017/2017-02/implications-of-our-results.html

References

29 May 2017 RDP 2017-02
James Bishop and Peter Tulip
Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR Models’, RBA Research
https://www.rba.gov.au/publications/rdp/2017/2017-02/references.html

Romer and Romer's Approach

29 May 2017 RDP 2017-02
James Bishop and Peter Tulip
We can do this in a single-equation framework or in a VAR.
https://www.rba.gov.au/publications/rdp/2017/2017-02/romer-and-romers-approach.html

Anticipatory Monetary Policy and the ‘Price Puzzle’

1 May 2017 RDP 2017-02
James Bishop and Peter Tulip
Research Discussion Paper – RDP 2017-02 Anticipatory Monetary Policy and the ‘Price Puzzle’. James Bishop and Peter Tulip. May 2017. 2.10. MB. We would like to thank Anthony Brassil, Efrem Castelnuovo, Christian Gillitzer, Jarkko Jääskelä,
https://www.rba.gov.au/publications/rdp/2017/2017-02/sections.html

Large-scale Structural Econometric Models

29 May 2017 RDP 2017-02
James Bishop and Peter Tulip
A precise decomposition of why the large-scale models give the opposite result to VARs would be complicated. ... This is standard practice in large-scale models, but can also be done in a VAR (e.g.
https://www.rba.gov.au/publications/rdp/2017/2017-02/large-scale-structural-econometric-models.html