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RBA Glossary definition for derivative

derivative – A financial contract whose value is based on, or derived from, another financial instrument (such as a bond or share) or a market index (such as the Share Price Index). Examples of derivatives include futures, forwards, swaps and options.

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Appendix A: Derivations for Bivariate SVAR

11 Oct 2022 RDP 2022-04
Matthew Read
λ. approaches zero from above, this derivative approaches. , which implies that the lower bound is extremely sensitive to small changes in. ... κ. , particularly for small values of. κ. ; the derivative of the lower bound tends to.
https://www.rba.gov.au/publications/rdp/2022/2022-04/appendix-a.html

The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions

11 Oct 2022 RDP 2022-04
Matthew Read
ϕ. at. ϕ. =. ϕ. 0. and have non-zero derivatives, the robust credible interval has valid frequentist coverage of the true identified set.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html

The Unit-effect Normalisation in a Bivariate SVAR

11 Oct 2022 RDP 2022-04
Matthew Read
ϕ. at. ϕ. =. ϕ. 0. and have non-zero derivatives, the robust credible interval has valid frequentist coverage of the true identified set. ... ϕ. with non-zero derivative. When there are additional sign restrictions on the impulse responses to the
https://www.rba.gov.au/publications/rdp/2022/2022-04/the-unit-effect-normalisation-in-a-bivariate-svar.html

Ruling Out Unboundedness Using Alternative Restrictions

11 Oct 2022 RDP 2022-04
Matthew Read
λ. ,. particularly when. λ. is small; the derivative of the lower bound tends to.
https://www.rba.gov.au/publications/rdp/2022/2022-04/ruling-out-unboundedness-using-alternative-restrictions.html