Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Co-movement in Inflation
28 Jan 2015
RDP
PDF
814KB
In this paper we use a panel vector autoregression (panel VAR) model to investigate possible explanations of this co-movement for the G7 economies. ... 4. Results. This section presents the key results from the panel VAR model.
https://www.rba.gov.au/publications/rdp/2012/pdf/rdp2012-01.pdf
Forecasting Australian Economic Activity Using Leadership Indicators
1 Dec 2009
RDP
PDF
338KB
Althoughnot uniform across all forecast horizons, generally the simple AR(p) model withtrend performs at least as well as the VAR models. ... At all horizons,both the single variable model and the VAR models with index perform roughlythe same.
https://www.rba.gov.au/publications/rdp/2000/pdf/rdp2000-02.pdf
Expectations and the Neutrality of Interest Rates
27 Nov 2023
Conferences
PDF
477KB
RBA Annual Conference 2023
https://www.rba.gov.au/publications/confs/2023/pdf/rba-conference-2023-cochrane.pdf
Cost-benefit Analysis of Leaning against the Wind
5 Jul 2019
RDP
PDF
1512KB
unemployment rate taken from, for example, a structural macroeconomic model. A quadratic loss. ... 2 per cent over a two to four year period, depending on the model.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-05.pdf
DSGE Reno: Adding a Housing Block to a Small Open Economy Model
11 Jun 2018
RDP
PDF
1710KB
model without housing. These regularities include the sensitivity of housing investment to interest. ... models – we show that our model does a good job in capturing aggregate and housing sector.
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-04.pdf
The Role of International Shocks in Australia’s Business Cycle
2 Dec 2009
RDP
PDF
372KB
the Beveridge-Nelsondecomposition and a structural VAR model is identified using robust signrestrictions derived from a small open economy model. ... The small openeconomy assumption is imposed on the VAR model by restricting the impact ofdomestic
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-08.pdf
r*: Definition, Uses, Measurement, and Drivers
28 Dec 2022
Conferences
PDF
1238KB
RBA Annual Conference 2022
https://www.rba.gov.au/publications/confs/2022/pdf/rba-conference-2022-del-negro-presentation.pdf
Firms’ Price-setting Behaviour: Insights from Earnings Calls
6 Nov 2023
RDP
PDF
1677KB
transformer-based large language model. We show the new indices track current economic. ... other industries. This underscores the importance of continuing to develop rich multisector models.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-06.pdf
Indicators of Economic Activity: A Review
18 Apr 2007
RDP
PDF
383KB
Table 7: VAR Models for Dwelling Investment. Model 1 Dwelling Approvals Investment. ... Table 11: VAR Model for Consumption Growth (four lags). Con. RT CS MVR.
https://www.rba.gov.au/publications/rdp/1991/pdf/rdp9102.pdf
Meet Martin The Rbas New Macroeconomic Model
17 Sep 2018
Bulletin
- March 2018
PDF
366KB
https://www.rba.gov.au/publications/bulletin/2018/mar/pdf/meet-martin-the-rbas-new-macroeconomic-model.pdf