Search: VAR models

Help
Contents
Metadata
Published
Display
per page
Results from
Sort by: Relevance Date
41–50 of 1,959 search results for VAR models

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

Measurement with Some Theory: Using Sign Restrictions to Evaluate Business Cycle Models

3 Dec 2007 Research Workshop PDF 444KB
Reserve Bank of Australia Workshop 2007: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2007/canova.pdf

Robustness

31 Dec 2013 RDP 2013-14
Isaac Gross and James Hansen
An important question is whether the estimated VAR is consistent with our theoretical model. ... VAR, but are assumed to be a statistically independent AR(1) process in the theoretical model.
https://www.rba.gov.au/publications/rdp/2013/2013-14/robustness.html
See 10 more results from "RDP 2013-14"

Identification and Inference under Narrative Restrictions

26 Oct 2023 RDP 2023-07
Raffaella Giacomini, Toru Kitagawa and Matthew Read
1. p. ,. ,. y. 0. ). are given. The reduced-form VAR(p) representation is. ... The SVAR model with NR possesses features of set-identified models from the Bayesian standpoint (i.e.
https://www.rba.gov.au/publications/rdp/2023/2023-07/full.html
See 15 more results from "RDP 2023-07"

Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques

1 Nov 1997 RDP 9708
Colleen Cassidy and Marianne Gizycki
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1997/9708.html
See 5 more results from "RDP 9708"

The VAR Methodology

1 May 1986 RDP 8604
Robert G. Trevor and Stephen G. Donald
As is the hallmark of VARs, there are no exclusion restrictions within the B. ... 2t. itself. The model presented in equation (1) is difficult to describe in terms of the B.
https://www.rba.gov.au/publications/rdp/1986/8604/var-methodology.html
See 6 more results from "RDP 8604"

Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!

1 May 2023 RDP PDF 1465KB
4. The Effects of Monetary Policy Shocks 16. 4.1 Monthly VAR 18. ... form VAR. More precisely, we consider the following proxy SVAR model (see also Doko Tchatoka and.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.pdf

Structural Evolution of the Postwar U.S. Economy

12 Dec 2013 Research Workshop PDF 950KB
Reserve Bank of Australia Workshop 2013
https://www.rba.gov.au/publications/workshops/research/2013/pdf/liu-morley.pdf

Financial-asset Prices and Monetary Policy: Theory and Evidence | Conference – 1997

21 Jul 1997 Conferences
Frank Smets
Each of the VAR models is estimated with six lags of the endogenous variables and the shocks are identified by a long-run triangular Choleski identification scheme. ... Model 1 of Table 2 is a bivariate VAR model which only includes the real exchange
https://www.rba.gov.au/publications/confs/1997/smets.html

An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?

1 Sep 1998 RDP 9812
Jeffrey C. Fuhrer
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1998/9812.html
See 12 more results from "RDP 9812"

Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques

1 Dec 2009 RDP PDF 400KB
Many banks that use VaR models routinely perform simple comparisons of dailyprofits and losses with model-generated risk measures to gauge the accuracy of theirrisk measurement systems. ... It should be kept in mind that shortcomings in the construction
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf