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A Small BVAR-DSGE Model for Forecasting the Australian Economy

10 Feb 2009 RDP PDF 599KB
The unrestricted VAR weestimate separately in Section 5.1 is effectively λ = 0, since it places zero weight on the DSGEmodel. ... Finally, another natural benchmark is the DSGEmodel itself, which we approximate by setting λ = 100 000.
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-04.pdf

Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies

2 Feb 2015 RDP PDF 759KB
the posterior for Φi, enabling us to rewrite the empirical BVAR-DSGEmodel as in Equation (1). ... DSGEmodels have been used as a source of the sign restrictions; see, for example, Liu (2010).
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-06.pdf

Unprecedented Changes in the Terms of Trade: Online Appendix

1 Sep 2015 RDP PDF 407KB
RDP 2015-11 online appendix
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-11-appendix.pdf

An Empirical BVAR-DSGE Model of the Australian Economy

2 Feb 2015 RDP PDF 657KB
We find that the forecasts from a BVAR that uses this DSGEmodel as a prior are generally more accurate than those from the DSGE modelalone. ... 6 Pre-estimating the large economy does restrict the data that can be used to estimate the DSGEmodel.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-07.pdf

Combining Multivariate Density Forecasts Using Predictive Criteria

14 May 2008 RDP PDF 352KB
The DSGEmodel uses economic theory to restrict the dynamics and cross-correlations ofkey macroeconomic time series. ... forecasts. So while DSGEmodels have been shown to produce relatively accurate point forecasts (see, forexample, Adolfson, Andersson et
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-02.pdf

Assessing Some Models of the Impact of Financial Stress upon Business Cycles

19 Dec 2011 RDP PDF 264KB
A popularcore model for quite a few macroeconomic investigations has been the DSGEmodel of Smets and Wouters (2007) (termed SW hereafter).
https://www.rba.gov.au/publications/rdp/2011/pdf/rdp2011-04.pdf

The Role of International Shocks in Australia’s Business Cycle

2 Dec 2009 RDP PDF 372KB
SVAR. The complete set of estimated IRFs from the DSGEmodel provides more sign restrictions than are necessary to disentangle theeight structural shocks.
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-08.pdf

Monetary Policy and the Exchange Rate: Evaluation of VAR Models

30 Sep 2010 RDP PDF 334KB
Table 1 summarises the results of the estimation of this DSGEmodel. ... Even if thestandard deviation of the monetary policy shock (σr) in the underlying DSGEmodel is reduced (we tested lowering σr 1 000 fold), the sign of the real exchangerate
https://www.rba.gov.au/publications/rdp/2010/pdf/rdp2010-07.pdf

A Multi-sector Model of the Australian Economy

14 May 2015 RDP PDF 1314KB
This paper contributes to the existing literature that has estimated DSGEmodels of the Australian economy.
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-07.pdf