Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions
11 Oct 2022
RDP
2022-04
3.1 Identified sets for impulse responses to unit shocks. The model is. ... model, which implies that this equation can be interpreted as a supply curve and.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html
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Smells Like Animal Spirits: The Effect of Corporate Sentiment on Investment
30 Nov 2021
RDP
2021-11
t. ). From this, the Tobin's Q model of investment can be derived:. (. ... t. ). var. (. S. i. t. ). >. β. To partly address this, I consider alternative model specifications that test the sensitivity of investment to sentiment based on prior company
https://www.rba.gov.au/publications/rdp/2021/2021-11/full.html
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The Rise in Household Liquidity
10 Nov 2021
RDP
2021-10
Household income is assumed to be a function of observable household-specific characteristics based on the following OLS regression model:. ... fixed or part-time basis) and the industry of work. From this regression model the residual income is
https://www.rba.gov.au/publications/rdp/2021/2021-10/full.html
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Financial Conditions and Downside Risk to Economic Activity in Australia
23 Mar 2021
RDP
2021-03
The QR coefficient estimates can now be used to compute the fitted values of the QR model. ... the quarterly versions of the QR model, highlighting the extreme, sudden and exogenous nature of the event.
https://www.rba.gov.au/publications/rdp/2021/2021-03/full.html
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Start Spreading the News: News Sentiment and Economic Activity in Australia
23 Dec 2020
RDP
2020-08
7. Robustness Tests and Extensions. We test for the robustness of estimated impulse responses in Section 5.2 using a multivariate VAR model which includes the current and lags of change ... Similarly, we run a VAR model to estimate the impulse responses
https://www.rba.gov.au/publications/rdp/2020/2020-08/full.html
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The Economic Effects of Low Interest Rates and Unconventional Monetary Policy
17 Sep 2020
Bulletin
– September 2020
The cash rate is currently at its effective lower bound and the Reserve Bank has put in place a suite of alternative monetary policy tools.
https://www.rba.gov.au/publications/bulletin/2020/sep/the-economic-effects-of-low-interest-rates-and-unconventional-monetary-policy.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
Robustness to Model Misspecification and the GFC Episode
28 Jan 2020
RDP
2020-01
An alternative explanation for the emergence of the price puzzle is that the SVAR model is misspecified. ... function, but also an important channel for the transmission of monetary policy typically omitted from the VAR model.
https://www.rba.gov.au/publications/rdp/2020/2020-01/robustness-to-model-misspecification-and-the-gfc-episode.html
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References
9 Dec 2019
RDP
2019-11
Barro RJ and DB Gordon (1983), ‘Rules, Discretion and Reputation in a Model of Monetary Policy’, NBER Working Paper No 1079. ... 2011. Chen H, K Chow and P Tillmann (2017), ‘The Effectiveness of Monetary Policy in China: Evidence from a Qual VAR’,
https://www.rba.gov.au/publications/rdp/2019/2019-11/references.html
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Appendix E: Equations
8 Oct 2019
RDP
2019-01
RDP 2019-01: Online Appendices: A Model of the Australian Housing Market Appendix E: Equations. ... dependent var. 0.062532. S.E. of regression. 0.040619. Akaike info criterion. 3.529051.
https://www.rba.gov.au/publications/rdp/2019/2019-01/appendix-e.html
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