Search: VAR models

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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Special Topic – ASX Strategic Initiatives | 2012/13 Assessment of ASX Clearing and Settlement Facilities

9 Mar 2023
ASX introduced backtesting arrangements in July 2013 and has plans in place to further develop its other model validation processes. ... DvP model 3). The settlement arrangements for the new facility would be acceptable only if the facility remained
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/2012-2013/special-topic.html

The Effect of Credit Constraints on Housing Prices: (Further) Evidence from a Survey Experiment

31 Jan 2023 RDP 2023-01
Tom Cusbert
segments. I then describe a heterogeneous user cost model that can interpret the empirical features of the data, before estimating regression models and using them to simulate the response of housing ... I estimate linear regression models using
https://www.rba.gov.au/publications/rdp/2023/2023-01/full.html
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Central Bank Frameworks: Evolution or Revolution?

4 Jan 2023 Conferences PDF 7522KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018.pdf

References

3 Jan 2023 RDP 2022-09
Matthew Read
Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic Record, 76(235), pp 321–342. ... Jääskelä J and D Jennings (2010), ‘Monetary Policy and the Exchange Rate: Evaluation of VAR Models’, RBA Research
https://www.rba.gov.au/publications/rdp/2022/2022-09/references.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

Discussion of The Consequences of Low Interest Rates for the Australian Banking Sector

29 Dec 2022 Conferences PDF 417KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-brassil-discussion.pdf

Measuring Global Interest Rate Comovements with Implications for Monetary Policy Interdependence

29 Dec 2022 Conferences PDF 495KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-fry-mckibbin-mckinnon-martin.pdf

Discussion of Fiscal, Monetary and Macroprudential Regimes: Incentives-Values Compatibility in Constitutional Democracies and Global Trends …

29 Dec 2022 Conferences PDF 84KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-tucker-del-negro-discussion.pdf

Gazing at r*: A Hysteresis Perspective

29 Dec 2022 Conferences PDF 1071KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-beaudry-kartashova-meh-presentation.pdf

Measuring Global Interest Rate Comovements with Implications for Monetary Interdependence

29 Dec 2022 Conferences PDF 1161KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-fry-mckibbin-mckinnon-martin-presentation.pdf