**By Gabriel Vasconcelos**

## Introduction

Vector Autorregresive (VAR) models are very popular in economics because they can model a system of economic variables and relations. Bayesian VARs are receiving a lot of attention due to their ability to deal with larger systems and the smart use of priors. For example, in this old post I showed an example of large Bayesian VARs to forecast covariance matrices. In this post I will show how to use the same model to obtain impulse response coefficients and perform structural analysis. The type of estimation was based on Bańbura et al. (2010) and the empirical application is from Barboza and Vasconcelos (2019). The objective is to measure the effects of the Brazilian Development Bank on investment. Therefore, we will measure how the investment respond to an increase in loans over the time.