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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis | Conference – 2011

16 Aug 2011 Conferences
Tamim Bayoumi and Trung Bui
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

Central Bank Frameworks: Evolution or Revolution?

4 Jan 2023 Conferences PDF 7522KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018.pdf

Discussion of Decomposing Supply and Demand Driven Inflation

23 Nov 2023 Conferences PDF 544KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-discussion-presentation.pdf

The Relationship Between Financial Indicators and Economic Activity: Some Further Evidence | Conference – 1989

20 Jun 1989 Conferences
Glenn Stevens and Susan Thorp
The two sets of results are discussed in turn. Each VAR model includes four lags of each variable. ... This section uses VAR models to look at some of these channels.
https://www.rba.gov.au/publications/confs/1989/stevens-thorp.html

Expectations and the Neutrality of Interest Rates

27 Nov 2023 Conferences PDF 477KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-cochrane.pdf

Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time

10 May 2010 Conferences PDF 206KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/baumeister-peersman-vanrobays-disc.pdf

r*: Definition, Uses, Measurement, and Drivers

28 Dec 2022 Conferences PDF 1238KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-del-negro-presentation.pdf

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

Measuring Core Inflation in Australia with Disaggregate Ensembles | Conference – 2009

17 Aug 2009 Conferences
Francesco Ravazzolo and Shaun P Vahey
Wallis (2005) uses opinion pools to average (model free) survey forecasts, rather than those from macroeconometric models. ... Andersson MK and S Karlsson (2007), ‘Bayesian Forecast Combination for VAR Models’, Sveriges Riksbank Working Paper No 216.
https://www.rba.gov.au/publications/confs/2009/ravazzolo-vahey.html

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