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
1 Apr 2018
RDP
2018-04
Structural VARS:. The code to estimate the structural VAR models and reproduce Figure 12 can be found in the ‘SVAR’ directory. ... 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/read-me.html
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Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies
2 Feb 2015
RDP
PDF
759KB
Dynamicstochastic general equilibrium (DSGE) models place greater emphasis on theory,while vector autoregression (VAR) models tend to provide a better fit of the data.Del Negro and Schorfheide (2004) develop a ... method of using a DSGE model toinform
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-06.pdf
Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
PDF
847KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-presentation.pdf
A Small BVAR-DSGE Model for Forecasting the Australian Economy
10 Feb 2009
RDP
PDF
599KB
VAR. The forecasting performance of themodel is competitive with benchmark models such as a Minnesota VAR and anindependently estimated DSGE model. ... 2. prior.3 While the Minnesota prior has aided the forecasting ability of VAR models,it is a purely
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-04.pdf
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
model the future path of interest rates and premia based on data on yields. ... Our baseline VAR is estimated (using ordinary least squares) at a monthly frequency.
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
7 Jan 2024
RDP
PDF
1715KB
macroeconomic models. For example, many models, including Woodford (2005), model investment. ... local projection model using (log) aggregate real non-mining investment (gross fixed capital.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-09.pdf
Identification and Inference under Narrative Restrictions
20 Oct 2023
RDP
PDF
1128KB
The initial conditions. (y1p,. ,y0) are given. The reduced-form VAR(p) representation is. ... the likelihood of the reduced-form VAR), whichdepends only on ϕϕϕ and the data.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-07.pdf
Oil Price Shocks, Monetary Policy and Stagflation | Conference – 2009
17 Aug 2009
Conferences
Their model included censored changes in nominal oil prices. Kilian and Vigfusson (2009) show that the impulse response estimates constructed from such censored vector autoregressive (VAR) models are inconsistent because the ... The lack of temporal
https://www.rba.gov.au/publications/confs/2009/kilian.html
Oil Price Shocks, Monetary Policy and Stagflation
10 May 2010
Conferences
PDF
329KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/kilian.pdf
Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions
29 Dec 2022
RDP
PDF
1886KB
known problems with conducting Bayesian inference in set-identified models; in particular, a. ... 3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-09.pdf