Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Monetary Policy and the Exchange Rate: Evaluation of VAR Models
30 Sep 2010
RDP
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334KB
in a controlled experiment.Simulating data from an estimated small open economy DSGE model forAustralia, we find that sign-restricted VAR models do reasonably well atestimating the responses of macroeconomic variables ... 4. VAR Models with Simulated Data
https://www.rba.gov.au/publications/rdp/2010/pdf/rdp2010-07.pdf
Discussion of Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
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697KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-discussion.pdf
VAR Forecasting Models of the Australian Economy: A Preliminary Analysis
19 Nov 2012
RDP
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785KB
as well or better than comparable private sector forecasts. Each VAR model is. ... models. An asterisk indicates that the survey average performed no-better. than the VAR model.
https://www.rba.gov.au/publications/rdp/1988/pdf/rdp8802.pdf
Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
PDF
1508KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro.pdf
A Small BVAR-DSGE Model for Forecasting the Australian Economy
10 Feb 2009
RDP
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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
Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies
2 Feb 2015
RDP
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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
An Empirical BVAR-DSGE Model of the Australian Economy
2 Feb 2015
RDP
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657KB
3. Estimating the Models 8. 3.1 Estimating the DSGE Model 83.1.1 Estimating the large economy Minnesota VAR 83.1.2 DSGE calibration 103.1.3 DSGE posterior 12. ... 3.3 Estimating the Benchmark Models 173.3.1 The small open economy Minnesota VAR 17.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-07.pdf
Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
7 Jan 2024
RDP
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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
General Discussion of Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
PDF
90KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-general-discussion.pdf