Search: VAR models
Did you mean
varmodels?
RBA Glossary definition for VAR models
VAR models – Vector Auto Regression models
Search Results
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
Conclusion | Hedge Funds, Financial Stability and Market Integrity – March 1999 | Financial Sector | Submissions
1 Mar 1999
Submissions
markets. This set of information might include details of large positions relative to the market, various measures of VaR, stress tests and measure of the performance of the VaR models.
https://www.rba.gov.au/publications/submissions/financial-sector/hedge-funds-financial-stability-and-market-integrity/conclusion.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
Policy Responses | Hedge Funds, Financial Stability and Market Integrity – March 1999-Public | Financial Sector | Submissions
1 Mar 1999
Submissions
One option is for institutions to disclose the assumptions underlying the VaR calculation. ... If institutions are to disclose information such as large positions relative to the market, their VaR, the results of stress tests and VaR model performance,
https://www.rba.gov.au/publications/submissions/financial-sector/hedge-funds-financial-stability-and-market-integrity/public-policy-responses.html
Hedge Funds, Financial Stability and Market Integrity
14 May 2002
Submissions
PDF
86KB
While the VaR is a useful summary measure, it can hide a variety of risks. ... To whom should information be disclosed? If institutions are to disclose information such as large positions relative to the market, theirVaR, the results of stress tests and
https://www.rba.gov.au/publications/submissions/financial-sector/hedge-funds-financial-stability-and-market-integrity/pdf/hedge-funds-financial-stability-and-market-integrity.pdf
Developments and Innovation in the Payments System | Submission to the Financial System Inquiry – March 2014 | Financial Sector |…
1 Mar 2014
Submissions
Submission to the Financial System Inquiry 8. Developments and Innovation in the Payments System. Download 3.1. MB. A safe, competitive and efficient payments system is essential to support the day-to-day business of the Australian economy.
https://www.rba.gov.au/publications/submissions/financial-sector/financial-system-inquiry-2014-03/developments-and-innovation.html
Submission to the Financial System Inquiry March 2014
10 Nov 2017
Submissions
PDF
3041KB
Financial System Inquiry
https://www.rba.gov.au/publications/submissions/financial-sector/financial-system-inquiry-2014-03/pdf/financial-system-inquiry-2014-03.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
In Depth – Full Employment
6 Feb 2024
SMP
– February 2024
In Depth – Full Employment | Statement on Monetary Policy – February 2024
https://www.rba.gov.au/publications/smp/2024/feb/in-depth-full-employment.html