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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Financial-asset Prices and Monetary Policy: Theory and Evidence

7 Dec 2006 Conferences PDF 536KB
RBA Conference Volume 1997
https://www.rba.gov.au/publications/confs/1997/pdf/smets.pdf

Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis

13 Dec 2011 Conferences PDF 8780KB
RBA Conference Volume 2011
https://www.rba.gov.au/publications/confs/2011/pdf/bayoumi-bui.pdf

The Sub-prime Crisis: Causal Distortions and Regulatory Reform | Conference – 2008

14 Jul 2008 Conferences
Adrian Blundell-Wignall and Paul Atkinson
The FSF focuses on strengthening models and procedures. This has to be supported as an important ‘conditioning factor’. ... For the mathematical model underlying the Basel approach (I or II), each exposure's contribution to value-at-risk (VAR) is
https://www.rba.gov.au/publications/confs/2008/blundell-wignall-atkinson.html

Key Elements of Global Inflation | Conference – 2009

17 Aug 2009 Conferences
Robert Anderton, Alessandro Galesi, Marco Lombardi and Filippo di Mauro
that is, a VAR model augmented by weakly exogenous variables), with each country model comprising domestic and foreign variables. ... The data are monthly. After estimating each of the country models, the results are connected through link matrices and
https://www.rba.gov.au/publications/confs/2009/anderton-galesi-lombardi-dimauro.html

Conference on Money and Credit: Summary of Discussion | Conference – 1989

20 Jun 1989 Conferences
One participant suggested that drawing stylised facts from Vector Auto-Regression (VAR) models of this type presents some difficulties, in the sense that the results are model-dependent, and the techniques ... The aim is to find a rule which has
https://www.rba.gov.au/publications/confs/1989/summary-of-discussion.html

Declining Output Volatility: What Role for Structural Change? | Conference – 2005

11 Jul 2005 Conferences
Christopher Kent, Kylie Smith and James Holloway
Perotti (2005), using structural VAR models for Australia, Canada, Germany, the UK and the US, finds that the magnitude of fiscal shocks declined around the early 1980s and that the transmission ... 2. for Model 1a is 0.212. Direct structural measures.
https://www.rba.gov.au/publications/confs/2005/kent-smith-holloway.html

Discussion of The Consequences of Low Interest Rates for the Australian Banking Sector

29 Dec 2022 Conferences PDF 417KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-brassil-discussion.pdf

Policy Responses | Hedge Funds, Financial Stability and Market Integrity – March 1999-Public | Financial Sector | Submissions

1 Mar 1999 Submissions
One option is for institutions to disclose the assumptions underlying the VaR calculation. ... If institutions are to disclose information such as large positions relative to the market, their VaR, the results of stress tests and VaR model performance,
https://www.rba.gov.au/publications/submissions/financial-sector/hedge-funds-financial-stability-and-market-integrity/public-policy-responses.html

The Changing Nature of the Business Cycle: Proceedings of a Conference

23 May 2007 Conferences PDF 2153KB
RBA Conference Volume 2005
https://www.rba.gov.au/publications/confs/2005/pdf/conf-vol-2005.pdf

The Role of the Exchange Rate in Monetary Policy - the Experience of Other Countries

12 Feb 2007 Conferences PDF 178KB
RBA Conference Volume 1993
https://www.rba.gov.au/publications/confs/1993/pdf/artis.pdf