Search: VAR models
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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Meet MARTIN, the RBA's new macroeconomic model
15 Mar 2018
Bulletin
– March 2018
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
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
Financial Intermediaries
10 Mar 2006
FSR
– March 2006
VaR models use the distribution of historical price changes to estimate the potential for future losses, relative to a confidence level. ... A confidence level of 99 per cent, for example, indicates a 99 per cent probability that losses will not exceed
https://www.rba.gov.au/publications/fsr/2006/mar/fin-intermed.html
Cyclical Labour Market Adjustment in Australia
17 Mar 2016
Bulletin
– March 2016
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
Financial Intermediaries
10 Mar 2005
FSR
– March 2005
This is evident in the major banks' exposure to market risk through their trading operations, as measured by the average value at risk (VaR). ... Footnote. Value-at-Risk (VaR) models use the distribution of historical price changes to estimate the
https://www.rba.gov.au/publications/fsr/2005/mar/fin-intermed.html
Market Making in Bond Markets
19 Mar 2015
Bulletin
– March 2015
In November 2014, the Committee on the Global Financial System (CGFS) published a report on developments in market making and proprietary trading in fixed income and related derivative markets (CGFS 2014). The aim of the report was to facilitate a
https://www.rba.gov.au/publications/bulletin/2015/mar/7.html
Economic and Financial Research in the Reserve Bank in 1997
10 Jan 1998
Bulletin
– January 1998
A paper by Colleen Cassidy and Marianne Gizycki outlines various approaches to obtaining estimates of the VaR. ... Each of the approaches is based on assumptions and these assumptions need to be tested, as do the predictions from the models used to
https://www.rba.gov.au/publications/bulletin/1998/jan/2.html
News Sentiment and the Economy
18 Jun 2020
Bulletin
– June 2020
The large and immediate effect of the COVID-19 pandemic on economic activity has increased the need for more real-time indicators of the economy.
https://www.rba.gov.au/publications/bulletin/2020/jun/news-sentiment-and-the-economy.html
New Measures of Financial Stress from Non-traditional Data
8 Dec 2022
Bulletin
– December 2022
Household and business financial stress has significant implications for financial stability and monetary policy.
https://www.rba.gov.au/publications/bulletin/2022/dec/new-measures-of-financial-stress-from-non-traditional-data.html