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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Appendix E: What Does the Empirical VAR Capture?

31 Dec 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
To do this, we compare impulse responses from our empirical VAR estimated using simulated data to the impulse responses to exogenous terms of trade volatility shocks generated by our model. ... Despite its linear structure, the VAR comes extremely close
https://www.rba.gov.au/publications/rdp/2013/2013-10/appendix-e.html

Stochastic Terms of Trade Volatility in Small Open Economies

22 Aug 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
We then set up a small open economy real business cycle model and show that it can broadly replicate the responses to a volatility shock estimated in the VAR. ... We use this model to explore the sectoral implications of terms of trade volatility shocks
https://www.rba.gov.au/publications/rdp/2013/2013-10.html

Conclusion

31 Dec 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
Using a panel VAR we demonstrate that a volatility shock reduces both consumption and investment. ... There is also a persistent decrease in the price level. Our small open economy real business cycle model can replicate the responses to the volatility
https://www.rba.gov.au/publications/rdp/2013/2013-10/conclusion.html

Stochastic Terms of Trade Volatility in Small Open Economies

1 Aug 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2013/2013-10/

Results

31 Dec 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
Table 6 compares the moments of the model to those of the data. ... In sum, the model qualitatively matches the empirical responses to a terms of trade volatility shock identified in the VAR, although the the responses are somewhat smaller.
https://www.rba.gov.au/publications/rdp/2013/2013-10/results.html

Literature Review

31 Dec 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
Many papers in this literature have examined terms of trade shocks using calibrated business cycle models. ... Other papers in this literature have adopted a more reduced form approach and have examined the effects of terms of trade shocks in VAR models.
https://www.rba.gov.au/publications/rdp/2013/2013-10/literature-review.html

The Impact of Volatility Shocks: Empirics

31 Dec 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
below. Of course, the empirical model cannot fully capture the non-linear relationships implied by a theoretical model. ... We then use the model to shed light on the sectoral implications and theoretical causes of these responses.
https://www.rba.gov.au/publications/rdp/2013/2013-10/impact-volatility-shocks-empirics.html

Introduction

31 Dec 2013 RDP 2013-10
Patricia Gómez-González and Daniel Rees
We then set up and augment a small open economy real business cycle model to incorporate stochastic terms of trade volatility. ... We demonstrate that this model can broadly replicate the empirical responses produced by the VAR and use it to explore the
https://www.rba.gov.au/publications/rdp/2013/2013-10/introduction.html