an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme …