. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un … for the propagation of news shocks. A DSGE model enriched with a financial sector generates very similar quantitative …

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its … examine alternative oil market VAR models. We help the reader understand why the latter models sometimes generated … supply shocks that have been used as external or internal instruments for VAR models …

We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on … 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 …Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …