Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...

Structural VAR models are frequently identified using sign restrictions on impulse responses. Moving beyond the popular but restrictive Normal-inverse-Wishart-Uniform prior, we develop a methodology that can handle almost any prior distribution on contemporaneous responses. We then propose a new...

The generalized asymmetric Laplace (GAL) distribution, also known as the variance/mean-gamma model, is a popular flexible class of distributions that can account for peakedness, skewness, and heavier than normal tails, often observed in financial or other empirical data. We consider extensions...