Search: varmodels
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The Information Content of Financial Aggregates in Australia
1 Dec 2009
RDP
PDF
278KB
For Australiandata, Trevor and Thorp (1988) investigate out-of-sample properties of simple VARmodels for forecasting the Australian economy.
https://www.rba.gov.au/publications/rdp/1996/pdf/rdp9606.pdf
Managing Market Risk in Banks
17 Jun 2003
Bulletin
PDF
44KB
There isno doubt that this characteristic makes VaRmodels a powerful management tool.
https://www.rba.gov.au/publications/bulletin/1996/dec/pdf/bu-1296-1.pdf
Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Dec 2009
RDP
PDF
400KB
MEASURING TRADED MARKET RISK: VALUE-AT-RISK ANDBACKTESTING TECHNIQUES. Colleen Cassidy and Marianne Gizycki. Research Discussion Paper9708. November 1997. Bank Supervision Department. Reserve Bank of Australia. The views expressed in this paper are
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf
Terms of Trade Shocks: What are They and What Do They Do?
21 Dec 2011
RDP
PDF
650KB
VARmodels identified using this technique are known as sign-restricted VARs. Signrestrictions have been used as a method of identifying structural shocks in VARmodels by Faust (1998), Canova and De NicoloĢ
https://www.rba.gov.au/publications/rdp/2011/pdf/rdp2011-05.pdf
An Empirical BVAR-DSGE Model of the Australian Economy
2 Feb 2015
RDP
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657KB
In this paper we study the forecasting performance of a small open economy VARmodel when information from the DSGE model developed earlier in the paper is.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-07.pdf
Forecasting Australian Economic Activity Using Leadership Indicators
1 Dec 2009
RDP
PDF
338KB
We now consider the contribution of each index. For the WM index, the VARmodel with trend is the one with the best forecasting performance at all forecasthorizons, although the gain relative
https://www.rba.gov.au/publications/rdp/2000/pdf/rdp2000-02.pdf
Monetary Policy and the Exchange Rate: Evaluation of VAR Models
30 Sep 2010
RDP
PDF
334KB
This paper examines the consequences of using recursive and sign-restricted VARmodels to identify monetary policy shocks when the data-generating processis an estimated small open economy DSGE model for Australia ... Overall, the results suggest that
https://www.rba.gov.au/publications/rdp/2010/pdf/rdp2010-07.pdf
A Multi-sector Model of the Australian Economy
14 May 2015
RDP
PDF
1314KB
Del Negro and Schorfheide (2013) survey the existingliterature and conclude that DSGE model forecasts are comparable to standard AR or VARmodels, but can be dominated by more sophisticated univariate or multivariate
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-07.pdf
A Structural Vector Autoregression Model of Monetary Policy in Australia
1 Dec 2009
RDP
PDF
818KB
A STRUCTURAL VECTOR AUTOREGRESSION MODEL OFMONETARY POLICY IN AUSTRALIA. Andrea Brischetto and Graham Voss. Research Discussion Paper1999-11. December 1999. Economic Research Department. Reserve Bank of Australia. The authors would like to thank Ron
https://www.rba.gov.au/publications/rdp/1999/pdf/rdp1999-11.pdf
Structural Evolution of the Postwar U.S. Economy
12 Dec 2013
Research Workshop
PDF
950KB
Reserve Bank of Australia Workshop 2013
https://www.rba.gov.au/publications/workshops/research/2013/pdf/liu-morley.pdf