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The goal of this course is to equip participants with state-of-the-art Bayesian methods for empirical research and policy analysis. The course challenges the current practice of identification of VAR models by introducing a more general Bayesian framework that encompasses standard identification approaches as special cases. This course provides formal tools of Bayesian analysis that allow to incorporate prior beliefs about structural coefficients, the impacts of shocks, and other structural objects of interest in a flexible way. The methods introduced in the lectures will be illustrated with applications to monetary policy, labor market dynamics, and oil price fluctuations, as well as hands-on programming in Matlab.