Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Assessment of Clearing and Settlement Facilities against the Financial Stability Standards | 2014/15 Assessment of ASX Clearing and…
17 Aug 2023
Table 7: ASX Margin Model Backtesting Results for 2014/15. Facility. Margin Model. ... ASX's model validation framework was significantly enhanced during 2013/14; this included further development of ASX's approach to the backtesting and sensitivity of
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2014-2015/assessment-of-clearing-and-settlement-facilities-against-the-financial-stability-standards.html
A1.2 ASX Clear (Futures) | 2014/15 Assessment of ASX Clearing and Settlement Facilities
17 Aug 2023
2014/15 Assessment of ASX Clearing and Settlement Facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2014-2015/appendix-a1-2-asx-clear-futures.html
Estimating the Relative Contributions of Supply and Demand Drivers to Inflation in Australia
15 Jun 2023
Bulletin
– June 2023
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
Estimating the Relative Contributions of Supply and Demand Drivers to Inflation in Australia
13 Jun 2023
Bulletin
- June 2023
PDF
711KB
https://www.rba.gov.au/publications/bulletin/2023/jun/pdf/estimating-the-relative-contributions-of-supply-and-demand-drivers-to-inflation-in-australia.pdf
Standard 6: Margin | A1.2 ASX Clear (Futures) | 2015/16 Assessment of ASX Clearing and Settlement Facilities
18 May 2023
Backtesting. Under ASX's Model Validation Standard, daily backtesting of both the SPAN and the OTC IRS FHSVaR margin models is used to test, on an ongoing basis, whether the margin ... ASX's Model Validation Standard requires that all models that are
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2015-2016/asx-clear-futures/standard-06.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
See 10 more results from "RDP 2023-04"
RBAFOI-222342 - documents for release
10 May 2023
PDF
1755KB
I show that in the Saunders and Tulip (2019) model, one of EA’s main models for forecasting housing prices, the current size and variation of market expectations are difficult to ... However, user cost models such as the Saunders and Tulip model are
https://www.rba.gov.au/information/foi/disclosure-log/pdf/222342.pdf
Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
3 May 2023
RDP
PDF
247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 May 2023
RDP
PDF
1465KB
4. The Effects of Monetary Policy Shocks 16. 4.1 Monthly VAR 18. ... form VAR. More precisely, we consider the following proxy SVAR model (see also Doko Tchatoka and.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.pdf
Special Topic – Margin | 2021/22 Assessment of ASX Clearing and Settlement Facilities
9 Mar 2023
2021/22 Assessment of ASX Clearing and Settlement Facilities
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2021-2022/special-topics-margin.html