Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The Sources of Fluctuations in Residential Investment: A View from a Policy-Oriented DSGE Model of the U.S. Economy
2 Dec 2008
Research Workshop
PDF
303KB
Reserve Bank of Australia Workshop 2008: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2008/edge.pdf
Oil Price Shocks, Monetary Policy and Stagflation | Conference – 2009
17 Aug 2009
Conferences
Their model included censored changes in nominal oil prices. Kilian and Vigfusson (2009) show that the impulse response estimates constructed from such censored vector autoregressive (VAR) models are inconsistent because the ... The lack of temporal
https://www.rba.gov.au/publications/confs/2009/kilian.html
Oil Price Shocks, Monetary Policy and Stagflation
10 May 2010
Conferences
PDF
329KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/kilian.pdf
Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions
29 Dec 2022
RDP
PDF
1886KB
known problems with conducting Bayesian inference in set-identified models; in particular, a. ... 3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-09.pdf
The Dynamics of the Estimated Model
1 Jun 2015
RDP
2015-07
Using a structural VAR model, Manalo, Perera and Rees (in progress) find quantitatively similar results to us. ... In contrast, VAR models of the Australian economy typically attribute a larger share of macroeconomic volatility to foreign disturbances
https://www.rba.gov.au/publications/rdp/2015/2015-07/dynamics-estimated-model.html
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Start Spreading the News: News Sentiment and Economic Activity in Australia
23 Dec 2020
RDP
2020-08
7. Robustness Tests and Extensions. We test for the robustness of estimated impulse responses in Section 5.2 using a multivariate VAR model which includes the current and lags of change ... Similarly, we run a VAR model to estimate the impulse responses
https://www.rba.gov.au/publications/rdp/2020/2020-08/full.html
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An Empirical BVAR-DSGE Model of the Australian Economy
2 Feb 2015
RDP
PDF
657KB
3. Estimating the Models 8. 3.1 Estimating the DSGE Model 83.1.1 Estimating the large economy Minnesota VAR 83.1.2 DSGE calibration 103.1.3 DSGE posterior 12. ... 3.3 Estimating the Benchmark Models 173.3.1 The small open economy Minnesota VAR 17.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-07.pdf
A Suite of Models
16 May 2008
RDP
2008-02
The BVAR shrinks the parameters on integrated variables in an unrestricted VAR towards the univariate random walk model. ... Each model is briefly presented below along with an overview of how the individual models are estimated.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html
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Estimation and Solution of Models with Expectations and Structural Changes
19 Dec 2012
RDP
2012-08
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2012/2012-08.html
See 8 more results from "RDP 2012-08"
General Discussion of Decomposing Supply and Demand Driven Inflation
23 Nov 2023
Conferences
PDF
90KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-general-discussion.pdf