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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

Oil Price Shocks, Monetary Policy and Stagflation | Conference – 2009

17 Aug 2009 Conferences
Lutz Kilian
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

Funding Flows and Credit in Carry Trade Economies | Conference – 2013

19 Aug 2013 Conferences
Silvia Miranda Agrippino and Hélène Rey
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

Financial-asset Prices and Monetary Policy: Theory and Evidence | Conference – 1997

21 Jul 1997 Conferences
Frank Smets
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
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

What Caused the Decline in US Business Cycle Volatility? | Conference – 2005

11 Jul 2005 Conferences
Robert J Gordon
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

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

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