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RBA Glossary definition for SOEs

SOEs – state owned enterprises

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Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

3 Jan 2023 RDP 2022-09
Matthew Read
There is robust evidence that an increase in the cash rate lowers output and consumer prices at horizons beyond a year or so.
https://www.rba.gov.au/publications/rdp/2022/2022-09.html

Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

3 Jan 2023 RDP 2022-09
Matthew Read
In doing so, I use a ‘prior robust’ approach to Bayesian inference (Giacomini and Kitagawa 2021). ... The prior for the reduced-form parameters is the non-informative Jeffreys prior, so.
https://www.rba.gov.au/publications/rdp/2022/2022-09/full.html

Robustness Exercises

3 Jan 2023 RDP 2022-09
Matthew Read
th. is non-negative for h = 0,1,2,3, so credit spreads cannot decline immediately following a positive monetary policy shock. ... t. is restricted to be non-negative, so the central bank does not increase the cash rate in response to higher credit spreads
https://www.rba.gov.au/publications/rdp/2022/2022-09/robustness-exercises.html

Introduction

3 Jan 2023 RDP 2022-09
Matthew Read
In doing so, I use a ‘prior robust’ approach to Bayesian inference (Giacomini and Kitagawa 2021). ... This proxy has been constructed with the purpose of measuring monetary policy shocks, so it should be positively correlated with the ‘true’
https://www.rba.gov.au/publications/rdp/2022/2022-09/introduction.html

Conclusion

3 Jan 2023 RDP 2022-09
Matthew Read
high posterior probability at horizons beyond a year or so, and this result is robust to the choice of prior.
https://www.rba.gov.au/publications/rdp/2022/2022-09/conclusion.html

Appendix A: Algorithms for Inference

3 Jan 2023 RDP 2022-09
Matthew Read
This involves drawing Q from a uniform distribution over the space of orthonormal matrices, normalising the draw so that the diagonal elements of A. ... using the approaches described in Read (2022b). Under Restriction (3), the number of sign
https://www.rba.gov.au/publications/rdp/2022/2022-09/appendix-a.html

Non-technical summary for ‘The Rise in Household Liquidity’

3 Jan 2023 RDP 2022-09
Matthew Read
In particular, I find strong evidence that an increase in the cash rate lowers real GDP and trimmed mean CPI at horizons beyond a year or so.
https://www.rba.gov.au/publications/rdp/2022/2022-09/non-technical-summary.html

The Effects of a 100 Basis Point Monetary Policy Shock

3 Jan 2023 RDP 2022-09
Matthew Read
In fact,. α. is 100 per cent under Restriction (3), so the identified set for. ... The posterior upper probabilities are close to 100 per cent, so I omit them.
https://www.rba.gov.au/publications/rdp/2022/2022-09/the-effects-of-a-100-basis-point-monetary-policy-shock.html

Estimates under Different Sets of Sign Restrictions

3 Jan 2023 RDP 2022-09
Matthew Read
The prior for the reduced-form parameters is the non-informative Jeffreys prior, so. ... The vector of reduced-form parameters is now augmented with the parameters from the reduced-form process for the proxies, so.
https://www.rba.gov.au/publications/rdp/2022/2022-09/estimates-under-different-sets-of-sign-restrictions.html