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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Declining Output Volatility: What Role for Structural Change? | Conference – 2005
11 Jul 2005
Conferences
Perotti (2005), using structural VAR models for Australia, Canada, Germany, the UK and the US, finds that the magnitude of fiscal shocks declined around the early 1980s and that the transmission ... 2. for Model 1a is 0.212. Direct structural measures.
https://www.rba.gov.au/publications/confs/2005/kent-smith-holloway.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
Conference on Money and Credit: Summary of Discussion | Conference – 1989
20 Jun 1989
Conferences
One participant suggested that drawing stylised facts from Vector Auto-Regression (VAR) models of this type presents some difficulties, in the sense that the results are model-dependent, and the techniques ... The aim is to find a rule which has
https://www.rba.gov.au/publications/confs/1989/summary-of-discussion.html
Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis
13 Dec 2011
Conferences
PDF
8780KB
RBA Conference Volume 2011
https://www.rba.gov.au/publications/confs/2011/pdf/bayoumi-bui.pdf
Financial-asset Prices and Monetary Policy: Theory and Evidence
7 Dec 2006
Conferences
PDF
536KB
RBA Conference Volume 1997
https://www.rba.gov.au/publications/confs/1997/pdf/smets.pdf
The Role of the Exchange Rate in Monetary Policy – the Experience of Other Countries | Conference – 1993
12 Jul 1993
Conferences
This gave way after around 1983 (the year of the ‘Mitterand U-turn’) to the asymmetric model. ... The credibility model was seen as requiring that no nominal devaluations should be undertaken.
https://www.rba.gov.au/publications/confs/1993/artis.html
The Changing Nature of the Business Cycle: Proceedings of a Conference
23 May 2007
Conferences
PDF
2153KB
RBA Conference Volume 2005
https://www.rba.gov.au/publications/confs/2005/pdf/conf-vol-2005.pdf
Discussion of The Consequences of Low Interest Rates for the Australian Banking Sector
29 Dec 2022
Conferences
PDF
417KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-brassil-discussion.pdf
International Business Cycle Co-movements through Time | Conference – 2005
11 Jul 2005
Conferences
Notes: All models are estimated as DOLS models with 4 leads and lags. ... For the euro area, we do not need to control for monetary policy in order to obtain a valid model, but inclusion of the variable leads to valid models for all
https://www.rba.gov.au/publications/confs/2005/andrews-kohler.html
Funding Flows and Credit in Carry Trade Economies
19 Dec 2013
Conferences
PDF
320KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/mirandaagrippino-rey.pdf