We introduce a structural vector autoregressive (SVAR) model with each of the mutually independent errors following a skewed generalized t-distribution that is more flexible than a Student's t-distribution typically considered. Hence, the effect of potential distributional misspecification is...

We show that under standard assumptions the elements of the impact matrix of the structural vector autoregression (SVAR) are always at least set identified and bounded by the standard deviations of the corresponding reduced form errors. This result facilitates valid Bayesian inference without...