  We propose an observation-driven time-varying SVAR model where, in agreement
with the Lucas Critique, structural shocks drive both the evolution of the
macro variables and the dynamics of the VAR parameters. Contrary to existing
approaches where parameters follow a stochastic process with random and
exogenous shocks, our observation-driven specification allows the evolution of
the parameters to be driven by realized past structural shocks, thus opening
the possibility to gauge the impact of observed shocks and hypothetical policy
interventions on the future evolution of the economic system.
