Impulse Response Analysis
Interpreting VAR results can be difficult due to the complex interdependence between variables, their lags, and the large number of coefficients in the model. Notably, a shock to the i-th variable not only directly affects the i-th variable but is also transmitted to all of the other endogenous variables through the dynamic (lag) structure of the VAR.
A primary method of examining the properties of a VAR is impulse response (IR) analysis, which traces the impact of a shock to a single variable on the current and future values of all of the endogenous variables.