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RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
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Box B: Lags from Activity to the Labour Market
8 May 2014
SMP
– May 2014
PDF
637KB
https://www.rba.gov.au/publications/smp/2014/may/pdf/box-b.pdf
Box B: Lags from Activity to the Labour Market
10 May 2014
SMP
– May 2014
One approach that can provide an estimate of the magnitude of these links is a VAR model, which captures the dynamic relationships between these variables. ... The results of VAR models can be interpreted using impulse responses, which trace out how
https://www.rba.gov.au/publications/smp/2014/may/box-b.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
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
Statement on Monetary Policy – May 2014
9 May 2014
SMP
– May 2014
PDF
2599KB
https://www.rba.gov.au/publications/smp/2014/may/pdf/0514.pdf
Financial Stability Review - March 2006
28 Mar 2006
FSR
- March 2006
PDF
645KB
https://www.rba.gov.au/publications/fsr/2006/mar/pdf/0306.pdf
Financial Stability Review - March 2005
12 Jul 2005
FSR
PDF
1040KB
Reserve Bank of Australia
https://www.rba.gov.au/publications/fsr/2005/mar/pdf/0305.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
Financial Stability Review - September 2006
27 Sep 2006
FSR
- September 2006
PDF
476KB
https://www.rba.gov.au/publications/fsr/2006/sep/pdf/0906.pdf
Box E: Scenario Analysis Using the MARTIN Model
8 Nov 2019
SMP
– November 2019
Statement on Monetary Policy – November 2019 Box E. Scenario Analysis Using the MARTIN Model. ... Scenario analysis involves a range of steps and requires the use of economic models.
https://www.rba.gov.au/publications/smp/2019/nov/box-e-scenario-analysis-using-the-martin-model.html