Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Market Making in Bond Markets
19 Mar 2015
Bulletin
– March 2015
In November 2014, the Committee on the Global Financial System (CGFS) published a report on developments in market making and proprietary trading in fixed income and related derivative markets (CGFS 2014). The aim of the report was to facilitate a
https://www.rba.gov.au/publications/bulletin/2015/mar/7.html
News Sentiment and the Economy
18 Jun 2020
Bulletin
– June 2020
The large and immediate effect of the COVID-19 pandemic on economic activity has increased the need for more real-time indicators of the economy.
https://www.rba.gov.au/publications/bulletin/2020/jun/news-sentiment-and-the-economy.html
Economic and Financial Research in the Reserve Bank in 1997
10 Jan 1998
Bulletin
– January 1998
A paper by Colleen Cassidy and Marianne Gizycki outlines various approaches to obtaining estimates of the VaR. ... Each of the approaches is based on assumptions and these assumptions need to be tested, as do the predictions from the models used to
https://www.rba.gov.au/publications/bulletin/1998/jan/2.html
Bulletin December Quarter 2022
8 Dec 2022
Bulletin
- December 2022
PDF
4585KB
https://www.rba.gov.au/publications/bulletin/2022/dec/pdf/bulletin-2022-12.pdf
Bulletin September Quarter 2021
22 Aug 2022
Bulletin
- September 2021
PDF
8022KB
https://www.rba.gov.au/publications/bulletin/2021/sep/pdf/bulletin-2021-09.pdf
Bulletin September Quarter 2020
9 Jun 2021
Bulletin
- September 2020
PDF
5941KB
https://www.rba.gov.au/publications/bulletin/2020/sep/pdf/bulletin-2020-09.pdf
Bulletin June Quarter 2020
24 Jun 2020
Bulletin
- June 2020
PDF
5409KB
https://www.rba.gov.au/publications/bulletin/2020/jun/pdf/bulletin-2020-06.pdf
Assessing Physical Climate Risk in Repo-eligible Residential Mortgage-backed Securities
17 Apr 2024
Bulletin
- April 2024
PDF
598KB
https://www.rba.gov.au/publications/bulletin/2024/apr/pdf/assessing-physical-climate-risk-in-repo-eligible-residential-mortgage-backed-securities.pdf
News Sentiment and the Economy
17 Jun 2020
Bulletin
- June 2020
PDF
695KB
https://www.rba.gov.au/publications/bulletin/2020/jun/pdf/news-sentiment-and-the-economy.pdf
The Reserve Bank and the Business Cycle
25 Feb 2001
Bulletin
PDF
85KB
The ‘political economy’ aspects have beenprominent in the academic literature, andsome very neat models can be built to illustratethe issues of time inconsistency. ... 9607. Dungey, M. and A. Pagan (1997), ‘Towardsa Structural VAR Model of the
https://www.rba.gov.au/publications/bulletin/1997/sep/pdf/bu-0997-1.pdf