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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy | Conference – 2018

12 Apr 2018 Conferences
Luke Hartigan and James Morley
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

Robust Design Principles for Monetary Policy Committees | Conference – 2018

12 Apr 2018 Conferences
David Archer and Andrew T Levin
2.2.1 Generic elements. Analytical tools. In conducting macroeconometric analysis and forecasting, central banks predominantly relied on linear methods using DSGE models and vector autoregressions (VARs). ... See Brayton et al (1997). For the current
https://www.rba.gov.au/publications/confs/2018/archer-levin.html

Twenty-five Years of Inflation Targeting in Australia: Are There Better Alternatives for the Next Twenty-five Years? | Conference – 2018

12 Apr 2018 Conferences
Warwick J McKibbin and Augustus J Panton
To test this hypothesis, we follow the approach by Demertzis et al (2008) as summarised by the vector autoregressive (VAR) model below:. ... To test monetary policy credibility during the pre-inflation-targeting era, we examine the sensitivity of
https://www.rba.gov.au/publications/confs/2018/mckibbin-panton.html

Monetary Policy and Financial Stability in a World of Low Interest Rates

18 Dec 2017 Conferences PDF 8052KB
RBA Conference Volume 2017
https://www.rba.gov.au/publications/confs/2017/pdf/rba-conference-volume-2017.pdf

Is Monetary Policy Less Effective When Interest Rates Are Persistently Low? | Conference – 2017

16 Mar 2017 Conferences
Claudio Borio and Boris Hofmann
In their model, this level could even be positive, depending on structural features of the economy and the financial system. ... This result is confirmed by Jannsen, Potjagailo and Wolters (2015) for a sample of 20 advanced economies based on panel
https://www.rba.gov.au/publications/confs/2017/borio-hofmann.html

Monetary Policy and Financial Stability | Conference – 2017

16 Mar 2017 Conferences
Giovanni Dell'Ariccia, Karl Habermeier, Vikram Haksar and Tommaso Mancini-Griffoli
These models take into account some financial distortions, as well as heterogeneous agents. ... This estimate is broadly consistent with those obtained using vector autoregression (VAR) models to estimate the transmission of monetary policy.
https://www.rba.gov.au/publications/confs/2017/dell-ariccia-habermeier-haksar-mancini-griffoli.html

The Dynamics of Trade Credit and Bank Debt in SME Finance: International Evidence

21 Aug 2015 Conferences PDF 336KB
RBA Conference Volume 2015
https://www.rba.gov.au/publications/confs/2015/pdf/norden-vankampen.pdf

Liquidity and Funding Markets

6 Jan 2014 Conferences PDF 4842KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/conf-vol-2013.pdf

Funding Flows and Credit in Carry Trade Economies

19 Dec 2013 Conferences PDF 320KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/mirandaagrippino-rey.pdf

Dicussion of Funding Flows and Credit in Carry Trade Economies

19 Dec 2013 Conferences PDF 170KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/mirandaagrippino-rey-disc.pdf