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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
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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
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
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
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
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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
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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