Have standard VARS remained stable since the crisis?

Small vector autoregressions are commonly used in macroeconomics for forecasting and evaluating shock trans-mission. This requires VAR parameters to be stable over the evaluation and forecast sample or modeled as time-varying. Prior work has considered whether there were sizable parameter changes in the early 1980s and in the subsequent period until the beginning of the new century. This paper conducts a similar analysis focused on the period since the recent crisis. Using a range of techniques, we provide substantial evidence against parame-ter stability. The evolution of the unemployment rate seems particularly different relative to its past behavior. We also evaluate alternative methods to handle parameter instability in a forecasting context