Search: VAR models
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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The Real Exchange Rate in Sticky Price Models: Does Investment Matter?
2 Dec 2008
Research Workshop
PDF
436KB
Reserve Bank of Australia Workshop 2008: Monetary Policy in Open Economies
https://www.rba.gov.au/publications/workshops/research/2008/sondergaard.pdf
Credit Spreads, Monetary Policy and the Price Puzzle
23 Jan 2020
RDP
PDF
1959KB
VAR model by Hartigan and Morley (2018). Providing external validity to models like MARTIN is important since the. ... 7. small-scale monetary policy VAR models to better capture the central bank’s forecasts.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-01.pdf
Stochastic Terms of Trade Volatility in Small Open Economies
2 Feb 2015
RDP
PDF
1080KB
We then set up a small open economy realbusiness cycle model and show that it can broadly replicate the responses to avolatility shock estimated in the VAR. ... Other papers in this literature have adopted a more reduced form approach andhave examined
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-10.pdf
A Factor Model Analysis of the Effects of Inflation Targeting on the Australian Economy
10 Feb 2020
Conferences
PDF
1902KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-hartigan-morley.pdf
Measuring Core Inflation in Australia with Disaggregate Ensembles
10 May 2010
Conferences
PDF
289KB
RBA Conference Volume 2009
https://www.rba.gov.au/publications/confs/2009/pdf/ravazzolo-vahey.pdf
Do Financial Aggregates Lead Activity?: A Preliminary Analysis
19 Nov 2012
RDP
PDF
694KB
A VAR model attempts to explain movements in a vector Yt of n endogenous. ... VAR models. It does not necessarily have to imply causality in the usual.
https://www.rba.gov.au/publications/rdp/1988/pdf/rdp8803.pdf
Are Inflationary Shocks Regressive? A Feasible Set Approach
19 Dec 2023
Research Workshop
PDF
842KB
RBA Workshop 2023
https://www.rba.gov.au/publications/workshops/research/2023/pdf/rba-workshop-2023-del-canto-grigsby-qian-walsh.pdf
Online Appendices: A Model of the Australian Housing Market
5 Mar 2019
RDP
PDF
1184KB
RDP 2019-01 online appendices
https://www.rba.gov.au/publications/rdp/2019/2019-01/rdp-2019-01-online-appendices.pdf
A Sectoral Model of the Australian Economy
13 May 2008
RDP
PDF
220KB
We deal with this in our sensitivity analysis by comparing the results from our baseline model to those from models estimated over two shorter sub-samples. ... Dungey M and A Pagan (2000), ‘A Structural VAR Model of the Australian Economy’, Economic
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-01.pdf
Financial Stability Review - September 2004
6 Jan 2005
FSR
PDF
1099KB
CONTENTS. 1 Overview. 3 The Macroeconomic and Financial Environment. 16 Box A: Credit Card Indicators. 18 Box B: The Housing Market Slowdown in the Netherlands. 21 Financial Intermediaries. 37 Box C: Measures of Housing Loan Quality. 39 Box D: The
https://www.rba.gov.au/publications/fsr/2004/sep/pdf/0904.pdf