Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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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
Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
15 Feb 2024
RDP
2024-01
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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Robustness
31 Dec 2013
RDP
2013-14
An important question is whether the estimated VAR is consistent with our theoretical model. ... VAR, but are assumed to be a statistically independent AR(1) process in the theoretical model.
https://www.rba.gov.au/publications/rdp/2013/2013-14/robustness.html
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A Suite of Models
16 May 2008
RDP
2008-02
The BVAR shrinks the parameters on integrated variables in an unrestricted VAR towards the univariate random walk model. ... Each model is briefly presented below along with an overview of how the individual models are estimated.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html
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Identification and Inference under Narrative Restrictions
26 Oct 2023
RDP
2023-07
1. p. ,. ,. y. 0. ). are given. The reduced-form VAR(p) representation is. ... The SVAR model with NR possesses features of set-identified models from the Bayesian standpoint (i.e.
https://www.rba.gov.au/publications/rdp/2023/2023-07/full.html
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Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Dec 2009
RDP
PDF
400KB
Many banks that use VaR models routinely perform simple comparisons of dailyprofits and losses with model-generated risk measures to gauge the accuracy of theirrisk measurement systems. ... It should be kept in mind that shortcomings in the construction
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf
The VAR Methodology
1 May 1986
RDP
8604
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8604/var-methodology.html
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An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?
1 Sep 1998
RDP
9812
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1998/9812.html
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The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
11 Oct 2022
RDP
2022-04
3.1 Identified sets for impulse responses to unit shocks. The model is. ... model, which implies that this equation can be interpreted as a supply curve and.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html
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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