Search: VAR models

Sort by: Relevance Date
5160 of 979 search results for VAR models

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

Cost-benefit Analysis of Leaning against the Wind

1 Jul 2019 RDP 2019-05
Trent Saunders and Peter Tulip
Both scenarios are generated by the AUS-M model maintained by Outlook Economics. ... We also experimented with other VARs used for operational work within the RBA.
https://www.rba.gov.au/publications/rdp/2019/2019-05/full.html
See 7 more results from "RDP 2019-05"

The Model's Properties

1 Nov 1995 RDP 9510
Gordon de Brouwer and Neil R. Ericsson
Equation (17) embeds the mark-up model (2) in its static long-run solution p. ... models of the Australian CPI are in differences only and require substantially longer lags.
https://www.rba.gov.au/publications/rdp/1995/9510/models-properties.html
See 12 more results from "RDP 9510"

Start Spreading the News: News Sentiment and Economic Activity in Australia

21 Dec 2020 RDP PDF 1524KB
Similarly,. we run a VAR model to estimate the impulse responses to a news uncertainty shock. ... uncertainty using VAR and LP are both qualitatively and quantitatively comparable (Figures 13.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-08.pdf

Credit Spreads, Monetary Policy and the Price Puzzle

1 Jan 2020 RDP 2020-01
Benjamin Beckers
t. (e.g. unemployment or output as captured by a standard VAR model),. ... However, adding this broad range of indicators to the VAR model is not feasible without applying some dimension reduction technique.
https://www.rba.gov.au/publications/rdp/2020/2020-01/full.html
See 12 more results from "RDP 2020-01"

References

1 Dec 1999 RDP 1999-11
Andrea Brischetto and Graham Voss
Bagliano, F.C. and C.A. Favero (1997), ‘Measuring Monetary Policy with VAR Models: An Evaluation’, CEPR Discussion Paper No. ... 9214. Robertson, J.C. and E.W. Tallman (1999), ‘Prior Parameter Uncertainty: Some Implications for Forecasting and
https://www.rba.gov.au/publications/rdp/1999/1999-11/references.html
See 7 more results from "RDP 1999-11"

The Model

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
It is a joint model of the nominal and real term structures of interest rates. ... n. are functions of the underlying model parameters (see Appendix A for further details).
https://www.rba.gov.au/publications/rdp/2018/2018-02/the-model.html
See 17 more results from "RDP 2018-02"

Appendix A: Technical Details

1 Oct 2017 RDP 2017-06
Giovanni Caggiano, Efrem Castelnuovo and Gabriela Nodari
The Teräsvirta-Yang test for linearity versus the STVAR model can be performed as follows:. ... Given that the model is highly nonlinear in its parameters, several local optima might be present.
https://www.rba.gov.au/publications/rdp/2017/2017-06/appendix-a.html
See 12 more results from "RDP 2017-06"

Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!

3 May 2023 RDP PDF 247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf

A Small Open Economy DSGE Model

31 Dec 2010 RDP 2010-02
Jarkko Jääskelä and Rebecca McKibbin
Download the Paper 280. KB. This section sketches the building blocks of the small open economy dynamic stochastic general equilibrium (DSGE) model that we estimate. ... We represent the foreign economy as an unrestricted VAR(1) of output, inflation and
https://www.rba.gov.au/publications/rdp/2010/2010-02/small-open-economy.html
See 11 more results from "RDP 2010-02"

Forecasting Australian Economic Activity Using Leading Indicators

1 Apr 2000 RDP 2000-02
Andrea Brischetto and Graham Voss
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2000/2000-02.html
See 6 more results from "RDP 2000-02"