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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data

15 Feb 2024 RDP 2024-01
Omer Majeed, Jonathan Hambur and Robert Breunig
Using a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative activity, as measured by R&D spending. ... To examine if their results hold for Australia specifically, we reproduce the small VAR model used in
https://www.rba.gov.au/publications/rdp/2024/2024-01/full.html

Macroeconomic Effects on Productivity

15 Feb 2024 RDP 2024-01
Omer Majeed, Jonathan Hambur and Robert Breunig
To examine if their results hold for Australia specifically, we reproduce the small VAR model used in Moran and Queralto (2018). ... TFP. Based on a Cholesky decomposition with R&D spending ordered last. VAR(1) model.
https://www.rba.gov.au/publications/rdp/2024/2024-01/macroeconomic-effects-on-productivity.html

Results

15 Feb 2024 RDP 2024-01
Omer Majeed, Jonathan Hambur and Robert Breunig
In part, this appears to reflect our use of a local projection model instead of a VAR. ... Footnotes. We experimented with a VAR identified using timing restrictions as in Moran and Queralto (2018).
https://www.rba.gov.au/publications/rdp/2024/2024-01/results.html

References

15 Feb 2024 RDP 2024-01
Omer Majeed, Jonathan Hambur and Robert Breunig
Queralto A (2020), ‘A Model of Slow Recoveries from Financial Crises’, Journal of Monetary Economics, 114, pp 1-25. ... Stadler GW (1990), ‘Business Cycle Models with Endogenous Technology’, The American Economic Review, 80(4), pp 763–778.
https://www.rba.gov.au/publications/rdp/2024/2024-01/references.html

Literature Review

15 Feb 2024 RDP 2024-01
Omer Majeed, Jonathan Hambur and Robert Breunig
They build a New Keynesian model with endogenous total factor productivity (TFP) growth to motivate their empirical findings. ... Using a vector autoregression (VAR) model, they find that contractionary monetary policy lowers innovative activity, as
https://www.rba.gov.au/publications/rdp/2024/2024-01/literature-review.html

Appendix B: Additional Regression Results

15 Feb 2024 RDP 2024-01
Omer Majeed, Jonathan Hambur and Robert Breunig
Download the Paper 1.23. MB. Figure B1: Effect of Monetary Policy Shock on R&D Spending in VAR Model. ... 100 basis point shock. Notes: Response of R&D spending to monetary policy shock in a VAR containing the log levels of the CPI, real GDP, real R&D
https://www.rba.gov.au/publications/rdp/2024/2024-01/appendix-b.html