Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data
15 Feb 2024
RDP
2024-01
Using a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative activity, as measured by R&D spending. ... To examine if their results hold for Australia specifically, we reproduce the small VAR model used in
https://www.rba.gov.au/publications/rdp/2024/2024-01/full.html
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
22 Dec 2023
RDP
2023-09
Figure B1 vars.wf1 – Eviews 13 workfile with VAR models for Figure B1.
https://www.rba.gov.au/publications/rdp/2023/2023-09/read-me.html
Appendix B: Aggregate Data Results
19 Dec 2023
RDP
2023-09
100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log) consumption, (log) non-mining business investment, (log) dwelling investment and cash rate. ... Difference between leader and other firm. Notes:
https://www.rba.gov.au/publications/rdp/2023/2023-09/appendix-b.html
References
19 Dec 2023
RDP
2023-09
Place: A Macroeconometric Model of the Australian Economy’, RBA Research Discussion Paper No 2019-07. ... Plagborg-Møller M and CK Wolf (2021), ‘Local Projections and VARs Estimate the Same Impulse Responses’, Econometrica, 89(2), pp 955-980.
https://www.rba.gov.au/publications/rdp/2023/2023-09/references.html
Results with Tax Data on Actual Investment
19 Dec 2023
RDP
2023-09
Sources: ABS; Authors' calculations. The timing of the lags with which monetary policy affects investment is consistent with macro models of the Australian economy such as the RBA's MARTIN (Ballantyne ... More generally, part of the difference between
https://www.rba.gov.au/publications/rdp/2023/2023-09/results-with-tax-data-on-actual-investment.html
Identification and Inference under Narrative Restrictions
26 Oct 2023
RDP
2023-07
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
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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE
21 Sep 2023
RDP
2023-09
For example, many models, including Woodford (2005), model investment using convex adjustment costs, leading to smooth investment. ... 100 basis point monetary policy shock, VAR model. Notes: Small VAR with (log) real trade-weighted index, (log)
https://www.rba.gov.au/publications/rdp/2023/2023-09/full.html
Firms' Price-setting Behaviour: Insights from Earnings Calls
11 Sep 2023
RDP
2023-06
CPI inflation. 0.59 (earnings calls lead). Note: (a) Bivariate vector autoregressions (VARs) of the form:. ... The models do not perform as well when classifying paragraphs into the future tense.
https://www.rba.gov.au/publications/rdp/2023/2023-06/full.html
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Read me file
12 May 2023
RDP
2023-04
Run VAR models. This code runs the various IV-SVAR estimations. This code was run in Matlab version 2021b. ... Input dataVAR data. Input files:. As with the VAR models section.
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
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The Effect of Credit Constraints on Housing Prices: (Further) Evidence from a Survey Experiment
31 Jan 2023
RDP
2023-01
segments. I then describe a heterogeneous user cost model that can interpret the empirical features of the data, before estimating regression models and using them to simulate the response of housing ... I estimate linear regression models using
https://www.rba.gov.au/publications/rdp/2023/2023-01/full.html
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