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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE

7 Jan 2024 RDP PDF 1715KB
macroeconomic models. For example, many models, including Woodford (2005), model investment. ... local projection model using (log) aggregate real non-mining investment (gross fixed capital.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-09.pdf

Oil Price Shocks, Monetary Policy and Stagflation | Conference – 2009

17 Aug 2009 Conferences
Lutz Kilian
Their model included censored changes in nominal oil prices. Kilian and Vigfusson (2009) show that the impulse response estimates constructed from such censored vector autoregressive (VAR) models are inconsistent because the ... The lack of temporal
https://www.rba.gov.au/publications/confs/2009/kilian.html

The Structural VAR

31 Dec 2001 RDP 2001-01
John Simon
The VAR methodology specifically allows the data to suggest the best model. ... If, for example, we have estimated a VAR(3) model, the long-run cumulative effect of an innovation in u.
https://www.rba.gov.au/publications/rdp/2001/2001-01/structural-var.html
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Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

29 Dec 2022 RDP PDF 1886KB
known problems with conducting Bayesian inference in set-identified models; in particular, a. ... 3.1 Specification of reduced-form VAR. The model includes a domestic block and a foreign block.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-09.pdf

Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques

1 Nov 1997 RDP 9708
Colleen Cassidy and Marianne Gizycki
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1997/9708.html
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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

What Caused the Decline in US Business Cycle Volatility? | Conference – 2005

11 Jul 2005 Conferences
Robert J Gordon
The development and analysis of the model goes beyond the previous literature in two directions. ... The small macro model is not a symmetric VAR model. Lag lengths and the role of levels versus rates of change are handled differently in each of the
https://www.rba.gov.au/publications/confs/2005/gordon.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

Decomposing Supply and Demand Driven Inflation

23 Nov 2023 Conferences PDF 847KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-shapiro-presentation.pdf

A Suite of Models

16 May 2008 RDP 2008-02
Hugo Gerard and Kristoffer Nimark
The BVAR shrinks the parameters on integrated variables in an unrestricted VAR towards the univariate random walk model. ... Each model is briefly presented below along with an overview of how the individual models are estimated.
https://www.rba.gov.au/publications/rdp/2008/2008-02/sui-models.html
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