Kilian and Luetkepohl: Nice Section on Kurmann and Mertens (2014)

Kilian and Luetkepohl's SVAR monograph is out; a great book!  A nice bit is also their description of my paper with Andre Kurmann (2014, AER) that showed how the original news shock identification of Beaudry and Portier (2006, AER; "BP") falls apart when there are more than two variables in their VECM. (The model has a common trend which limits the number of independent long-run restriction to just one.) See here for more on our paper as well as Chapter 10 of the Kilian and Luetkepohl book. Here is a figure from our paper that shows the range of impulse responses consistent with the BP news-shock identification: