RBA develops new method of modelling financial sector

Approach takes Martin model “beyond the existing macroeconometric frontier”, say researchers

Reserve Bank of Australia
Photo: Alex Towle

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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