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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

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

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

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

19 Aug 2013 Conferences
This is especially so in the VAR analysis, which attempts to go beyond the analysis of correlations in the first two sections of the paper to ascertain some direction of causation ... Ultimately, it is difficult to answer such questions without some
https://www.rba.gov.au/publications/confs/2013/mirandaagrippino-rey-disc.html

Taming the Real Estate Beast: The Effects of Monetary and Macroprudential Policies on Housing Prices and Credit | Conference – 2012

20 Aug 2012 Conferences
Kenneth Kuttner and Ilhyock Shim
the 0.3 per cent to 0.9 per cent effect derived from VAR estimates. ... Naturally, including these data in a regression model requires some degree of standardisation and aggregation.
https://www.rba.gov.au/publications/confs/2012/kuttner-shim.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

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