Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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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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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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Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 May 2023
RDP
PDF
1465KB
4. The Effects of Monetary Policy Shocks 16. 4.1 Monthly VAR 18. ... form VAR. More precisely, we consider the following proxy SVAR model (see also Doko Tchatoka and.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.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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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
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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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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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
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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References
3 Jan 2023
RDP
2022-09
Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR Models’, RBA Research
https://www.rba.gov.au/publications/rdp/2022/2022-09/references.html
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