Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
model the future path of interest rates and premia based on data on yields. ... Our baseline VAR is estimated (using ordinary least squares) at a monthly frequency.
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
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
References
12 May 2023
RDP
2023-04
Gambetti L (2021), ‘Shocks, Information, and Structural VARs’, Oxford Research Encyclopaedia of Economics and Finance, accessed 21 November 2022. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR
https://www.rba.gov.au/publications/rdp/2023/2023-04/references.html
The Effects of Monetary Policy Shocks
12 May 2023
RDP
2023-04
More precisely, we consider the following proxy SVAR model (see also Doko Tchatoka and Haque (2021)). ... Our baseline VAR is estimated (using ordinary least squares) at a monthly frequency.
https://www.rba.gov.au/publications/rdp/2023/2023-04/the-effects-of-monetary-policy-shocks.html
Related Literature
12 May 2023
RDP
2023-04
spreads in the VAR or when constructing shock measures using the Romer and Romer (2004) approach. ... They then study the macroeconomic effects of the different facets of monetary policy using a local projections model.
https://www.rba.gov.au/publications/rdp/2023/2023-04/related-literature.html