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RBA Glossary definition for SOEs

SOEs – state owned enterprises

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Bivariate Example

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
through its effect on the truncation points of the likelihood, so there may be some updating of the prior. ... θ. , so the event that the NR are satisfied is not ancillary.
https://www.rba.gov.au/publications/rdp/2023/2023-07/bivariate-example.html

Identification under NR

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
so. 𝒬. is not a singleton and the SVAR is not globally identified. ... However, the projection of. 𝒬. onto its first column is a singleton, so.
https://www.rba.gov.au/publications/rdp/2023/2023-07/identification-under-nr.html

General Framework

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
as observable given. ϕ. and the data, so we suppress the dependence of u. ... It is straightforward to additionally allow for zero restrictions, so long as these are not over-identifying.
https://www.rba.gov.au/publications/rdp/2023/2023-07/general-framework.html

Non-technical summary for ‘Identification and Inference under Narrative Restrictions’

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
Roughly speaking, these models decompose the correlations among a group of macroeconomic variables so that the components can be interpreted as the effects of different shocks. ... For example, restricting the model so that inflation doesn't increase
https://www.rba.gov.au/publications/rdp/2023/2023-07/non-technical-summary.html

Appendix B: Proofs

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
ϕ. 0. ,. Q. 0. ,. y. T. ). ). d. y. T. The likelihood for the reduced-form parameters. f. (. y. T. |. ϕ. ). point identifies. ϕ. , so. f. (. |. ... so. N. (. ϕ. ,. Q. ,. Y. T. ). =. (. Σ. t. r. 1. u. t. 1. ,. ,. Σ. t. r. 1. u. t. K. ). ′. q. 1.
https://www.rba.gov.au/publications/rdp/2023/2023-07/appendix-b.html

Identification and Inference under Narrative Restrictions

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
so. 𝒬. is not a singleton and the SVAR is not globally identified. ... However, the projection of. 𝒬. onto its first column is a singleton, so.
https://www.rba.gov.au/publications/rdp/2023/2023-07/full.html

Bayesian Inference under NR

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
Q. |. ϕ. , so the posterior for. Q. |. ϕ. ,. ... η. This will always be an interval, so we can summarise this ‘set of posterior means’ by its end points:.
https://www.rba.gov.au/publications/rdp/2023/2023-07/bayesian-inference-under-nr.html

Empirical Application: Dynamic Effects of US Monetary Policy

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
When additionally imposing the NR based on the October 1979 episode (bottom row), the standard Bayesian posterior concentrates around negative output responses at horizons beyond a year or so. ... Adding the historical decomposition restrictions narrows
https://www.rba.gov.au/publications/rdp/2023/2023-07/empirical-application-dynamic-effects-of-us-monetary-policy.html

Appendix A: Numerical Implementation

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
˜. Step 2.3: Check whether Q satisfies. N. (. ϕ. ,. Q. ,. Y. T. ). 0. s. 1. and. S. (. ϕ. ,. Q. ). 0. s. ˜. 1. If so, retain Q and proceed to
https://www.rba.gov.au/publications/rdp/2023/2023-07/appendix-a.html