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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Assessing Physical Climate Risk in Repo-eligible Residential Mortgage-backed Securities

18 Apr 2024 Bulletin – April 2024
Ronan McCarthy and Geordie Reid
This article assesses physical climate risk in Australian residential mortgage-backed securities (RMBS) using two risk metrics.
https://www.rba.gov.au/publications/bulletin/2024/apr/assessing-physical-climate-risk-in-repo-eligible-residential-mortgage-backed-securities.html

Bulletin

17 Apr 2024 Bulletin - April 2024 PDF 7253KB
https://www.rba.gov.au/publications/bulletin/2024/apr/pdf/bulletin-2024-04.pdf

Assessing Physical Climate Risk in Repo-eligible Residential Mortgage-backed Securities

17 Apr 2024 Bulletin - April 2024 PDF 598KB
https://www.rba.gov.au/publications/bulletin/2024/apr/pdf/assessing-physical-climate-risk-in-repo-eligible-residential-mortgage-backed-securities.pdf

Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data

15 Feb 2024 RDP 2024-01
Omer Majeed, Jonathan Hambur and Robert Breunig
Using a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative activity, as measured by R&D spending. ... To examine if their results hold for Australia specifically, we reproduce the small VAR model used in
https://www.rba.gov.au/publications/rdp/2024/2024-01/full.html
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Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data

13 Feb 2024 RDP PDF 1260KB
Using. a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative. ... In part,. this appears to reflect our use of a local projection model instead of a VAR.
https://www.rba.gov.au/publications/rdp/2024/pdf/rdp2024-01.pdf

Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE

7 Jan 2024 RDP PDF 1715KB
macroeconomic models. For example, many models, including Woodford (2005), model investment. ... local projection model using (log) aggregate real non-mining investment (gross fixed capital.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-09.pdf

Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE

22 Dec 2023 RDP 2023-09
Figure B1 vars.wf1 – Eviews 13 workfile with VAR models for Figure B1.
https://www.rba.gov.au/publications/rdp/2023/2023-09/read-me.html

Appendix B: Aggregate Data Results

19 Dec 2023 RDP 2023-09
100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log) consumption, (log) non-mining business investment, (log) dwelling investment and cash rate. ... Difference between leader and other firm. Notes:
https://www.rba.gov.au/publications/rdp/2023/2023-09/appendix-b.html

References

19 Dec 2023 RDP 2023-09
Place: A Macroeconometric Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07. ... Plagborg-Møller M and CK Wolf (2021), ‘Local Projections and VARs Estimate the Same Impulse Responses’, Econometrica, 89(2), pp 955-980.
https://www.rba.gov.au/publications/rdp/2023/2023-09/references.html

Results with Tax Data on Actual Investment

19 Dec 2023 RDP 2023-09
Sources: ABS; Authors' calculations. The timing of the lags with which monetary policy affects investment is consistent with macro models of the Australian economy such as the RBA's MARTIN (Ballantyne ... More generally, part of the difference between
https://www.rba.gov.au/publications/rdp/2023/2023-09/results-with-tax-data-on-actual-investment.html