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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Discussion of Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
PDF
697KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-discussion.pdf
A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy | Conference – 2018
12 Apr 2018
Conferences
For identification of monetary policy shocks, we follow Bernanke, Boivin and Eliasz (2005) and use estimated loadings to relate the full panel to a three-variable structural vector autoregressive (VAR) model ... The model uses factor loadings to relate
https://www.rba.gov.au/publications/confs/2018/hartigan-morley.html
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
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
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
Funding Flows and Credit in Carry Trade Economies | Conference – 2013
19 Aug 2013
Conferences
They use a variant of the Vasicek (2002) model with a two-tier banking system. ... The VAR includes two lags of each variable, which was selected using a combination of criteria.
https://www.rba.gov.au/publications/confs/2013/mirandaagrippino-rey.html
What Caused the Decline in US Business Cycle Volatility? | Conference – 2005
11 Jul 2005
Conferences
The development and analysis of the model goes beyond the previous literature in two directions. ... The small macro model is not a symmetric VAR model. Lag lengths and the role of levels versus rates of change are handled differently in each of the
https://www.rba.gov.au/publications/confs/2005/gordon.html
Financial-asset Prices and Monetary Policy: Theory and Evidence | Conference – 1997
21 Jul 1997
Conferences
Each of the VAR models is estimated with six lags of the endogenous variables and the shocks are identified by a long-run triangular Choleski identification scheme. ... Model 1 of Table 2 is a bivariate VAR model which only includes the real exchange
https://www.rba.gov.au/publications/confs/1997/smets.html
Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis | Conference – 2011
16 Aug 2011
Conferences
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