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Can you suggest me a framework in macroeconomics or finance where identification of a Structural VAR model through Cholesky ordering is still considered credible (in your opinion)? I'm looking for a framework in which identification through Cholesky ordering is still used in applied work.

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These are just examples to think about, depending on the deeper context recursive restrictions may or may not be reasonable even when conditions below are satisfied:

  1. When there are some clearly faster updating variables alongside sluggish variables. For instance oil prices paired with house prices or GDP of an oil exporting economy. One still needs to be careful with the possibility that the lead lag relationship bw fast and slow variables is not resulting from some third variable that affects them asynchronously.

  2. A case where simultaneity can be reasonably addressed due to an inelastic assumption. For example we know capital flows can affect asset prices (hence their expected returns) but asset prices can also attract capital flows. However there may be some special segment of market participants that have particularly inelastic demand for certain assets such that their demand for assets is not a function of the prices they face

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