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1–10 of 931 search results for VAR models

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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Meet MARTIN, the RBA's new macroeconomic model

15 Mar 2018 Bulletin – March 2018

Tom Cusbert and Elizabeth Kendall

suite of vector autoregression (VAR) models described in Gerard and Nimark (2008). ... Likewise, the VAR models are used to produce forecasts each quarter as an input into the forecasting process.

https://www.rba.gov.au/publications/bulletin/2018/mar/meet-martin-the-rbas-new-macroeconomic-model.html

Managing Market Risk in Banks

10 Dec 1996 Bulletin – December 1996

Leading international banks have begun to model these liquidity effects in more detail and incorporate them directly into their VaR models, although this work is still at a relatively early stage. ... There is no doubt that this characteristic makes VaR

https://www.rba.gov.au/publications/bulletin/1996/dec/1.html

Bulletin June Quarter 2023

29 Sep 2023 Bulletin - June 2023 PDF 7089KB

https://www.rba.gov.au/publications/bulletin/2023/jun/pdf/bulletin-2023-06.pdf

Managing Market Risk in Banks

17 Jun 2003 Bulletin PDF 44KB

Leadinginternational banks have begun to model theseliquidity effects in more detail and incorporatethem directly into their VaR models, althoughthis work is still at a relatively early stage. ... pricemovements that pose the greatest risks tofinancial

https://www.rba.gov.au/publications/bulletin/1996/dec/pdf/bu-1296-1.pdf

Cyclical Labour Market Adjustment in Australia

17 Mar 2016 Bulletin – March 2016

James Bishop and Michael Plumb

Since the late 1990s, a larger share of labour market adjustment in Australia has come about via changes in average hours worked, as opposed to changes in the number of people employed. Much of this is likely to reflect that the economic downturns

https://www.rba.gov.au/publications/bulletin/2016/mar/2.html

Estimating the Relative Contributions of Supply and Demand Drivers to Inflation in Australia

15 Jun 2023 Bulletin – June 2023

Ben Beckers, Jonathan Hambur and Tom Williams

Inflation has increased substantially since mid-2021.

https://www.rba.gov.au/publications/bulletin/2023/jun/estimating-the-relative-contributions-of-supply-and-demand-drivers-to-inflation-in-australia.html

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RBA Glossary definition for VAR models

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