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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Twenty-five Years of Inflation Targeting in Australia: Are There Better Alternatives for the Next Twenty-five Years? | Conference – 2018
12 Apr 2018
Conferences
To test this hypothesis, we follow the approach by Demertzis et al (2008) as summarised by the vector autoregressive (VAR) model below:. ... To test monetary policy credibility during the pre-inflation-targeting era, we examine the sensitivity of
https://www.rba.gov.au/publications/confs/2018/mckibbin-panton.html
Discussion | Conference – 2009
17 Aug 2009
Conferences
Consequently, they re-estimate the VAR models and examine whether there are differences in impulses between the two sample periods. ... This raised a concern that the parameter estimates of the VAR model may be compromised by the lack of sample data.
https://www.rba.gov.au/publications/confs/2009/baumeister-peersman-vanrobays-disc.html
Inflation in an Era of Relative Price Shocks: Proceedings of a Conference
12 May 2010
Conferences
PDF
2491KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/conf-vol-2009.pdf
Measuring Core Inflation in Australia with Disaggregate Ensembles
10 May 2010
Conferences
PDF
289KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/ravazzolo-vahey.pdf
Key Elements of Global Inflation | Conference – 2009
17 Aug 2009
Conferences
that is, a VAR model augmented by weakly exogenous variables), with each country model comprising domestic and foreign variables. ... The data are monthly. After estimating each of the country models, the results are connected through link matrices and
https://www.rba.gov.au/publications/confs/2009/anderton-galesi-lombardi-dimauro.html
A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy
10 Feb 2020
Conferences
PDF
1902KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-hartigan-morley.pdf
Monetary Policy and Financial Stability | Conference – 2017
16 Mar 2017
Conferences
These models take into account some financial distortions, as well as heterogeneous agents. ... This estimate is broadly consistent with those obtained using vector autoregression (VAR) models to estimate the transmission of monetary policy.
https://www.rba.gov.au/publications/confs/2017/dell-ariccia-habermeier-haksar-mancini-griffoli.html
The Debate on Alternatives for Monetary Policy in Australia
7 Dec 2006
Conferences
PDF
85KB
RBA Conference Volume 1997
https://www.rba.gov.au/publications/confs/1997/pdf/edey.pdf
Business Cycle Dynamics in OECD Countries: Evidence, Causes and Policy Implications | Conference – 2005
11 Jul 2005
Conferences
An alternative, but somewhat related, approach is semi-structural, such as Kalman filters or structural VAR models as developed by Blanchard and Quah (1989). ... model with alternative calibrations to replicate economic structures in the US and the euro
https://www.rba.gov.au/publications/confs/2005/cotis-coppel.html
The Sub-prime Crisis: Causal Distortions and Regulatory Reform | Conference – 2008
14 Jul 2008
Conferences
The FSF focuses on strengthening models and procedures. This has to be supported as an important ‘conditioning factor’. ... For the mathematical model underlying the Basel approach (I or II), each exposure's contribution to value-at-risk (VAR) is
https://www.rba.gov.au/publications/confs/2008/blundell-wignall-atkinson.html