Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The Role of the Exchange Rate in Monetary Policy – the Experience of Other Countries | Conference – 1993
12 Jul 1993
Conferences
This gave way after around 1983 (the year of the ‘Mitterand U-turn’) to the asymmetric model. ... The credibility model was seen as requiring that no nominal devaluations should be undertaken.
https://www.rba.gov.au/publications/confs/1993/artis.html
International Business Cycle Co-movements through Time | Conference – 2005
11 Jul 2005
Conferences
Notes: All models are estimated as DOLS models with 4 leads and lags. ... For the euro area, we do not need to control for monetary policy in order to obtain a valid model, but inclusion of the variable leads to valid models for all
https://www.rba.gov.au/publications/confs/2005/andrews-kohler.html
Funding Flows and Credit in Carry Trade Economies
19 Dec 2013
Conferences
PDF
320KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/mirandaagrippino-rey.pdf
Robust Design Principles for Monetary Policy Committees
10 Feb 2020
Conferences
PDF
1517KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-archer-levin.pdf
Monetary Policy and Financial Stability
10 Feb 2020
Conferences
PDF
1844KB
RBA Conference Volume 2017
https://www.rba.gov.au/publications/confs/2017/pdf/rba-conference-volume-2017-dellariccia-habermeier-haksar-mancini-griffoli.pdf
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
Discussion on It Takes More Than a Bubble to Become Japan | Conference – 2003
18 Aug 2003
Conferences
Table 1: Estimated Probabilities of Rising Asset Prices. Probit model of the rise in asset prices. ... variables are percentage change except the Tankan survey of actual business conditions; Granger causality tests conducted in a VAR model with three
https://www.rba.gov.au/publications/confs/2003/posen-disc.html
Lessons from the Financial Turmoil of 2007 and 2008: Proceedings of a Conference
24 Oct 2008
Conferences
PDF
1049KB
RBA Conference Volume 2008
https://www.rba.gov.au/publications/confs/2008/pdf/conf-vol-2008.pdf
Is Monetary Policy Less Effective When Interest Rates Are Persistently Low?
10 Feb 2020
Conferences
PDF
1690KB
RBA Conference Volume 2017
https://www.rba.gov.au/publications/confs/2017/pdf/rba-conference-volume-2017-borio-hofmann.pdf
Hedge Funds, Financial Stability and Market Integrity
14 May 2002
Submissions
PDF
86KB
While the VaR is a useful summary measure, it can hide a variety of risks. ... To whom should information be disclosed? If institutions are to disclose information such as large positions relative to the market, theirVaR, the results of stress tests and
https://www.rba.gov.au/publications/submissions/financial-sector/hedge-funds-financial-stability-and-market-integrity/pdf/hedge-funds-financial-stability-and-market-integrity.pdf