Mark Kerssenfischer, "The Puzzling Effects of Monetary Policy in VARs: Invalid Identification or Missing Information?", Journal of Applied Econometrics, Vol. 34, No. 1, 2019, pp. 18-25. Running 'RUN_ME.m' in Matlab will reproduce all figures shown in the main text. All Matlab (.m) files are ASCII files in DOS format. They are zipped in mk-files.zip. Unix/Linux users should use "unzip -a". The main underlying scripts are: FAVARest -estimates VARs and FAVARs FAVARest_boot -draws bootstrap samples DFMest -estimates DFMs DFMest_boot -draws bootstrap samples IdentChol -applies Cholesky identification to reduced-form models IdentExtInstr -applies External Instrument identification The following basic functions are taken from Forni & Gambetti (2010): -invertepolynomialmatrix,woldimpulse,myols,myvar,center- available at http://pareto.uab.es/lgambetti/ReplicaForniGambettiJME.zip Mark Kerssenfischer, June 2018