RBA develops new method of modelling financial sector
Approach takes Martin model “beyond the existing macroeconometric frontier”, say researchers
Economists at the Reserve Bank of Australia have developed a method of modelling the financial sector that “moves beyond” the approaches employed at other central banks.
The method augments the RBA’s ‘Martin’ macroeconomic model with a micro-simulation model, as well as frameworks for non-linear stress-testing and funding costs.
“Our approach moves beyond the existing macroeconometric frontier,” say Anthony Brassil, Mike Major and Peter Rickards in a discussion paper detailing the project.
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