thanks again for your feedback. I really appreciate the option to get some feedback from you.
Let me shortly cite BBE2005 (p. 404):
In particular, we define two categories of information variables: "slow-moving" and "fast-moving." Slow moving variables (think of wages or spending) are assumed not to respond contemporaneously to unanticipated changes in monetary policy. In contrast, fast-moving variables (think of asset prices) are allowed to respond contemporaneously to policy shocks.
From my perspective, the underlined definition of slow-moving variables is exactly a description of the impulse response behaviour of those variables, namely that they are not supposed to react to an unanticipated shock in the policy rate within the same period. Therefore, I believe that the IRFs of those variables, should - by definition - start with zero. That is how I interpret BEE's statement.
To give an example: Blake, Mumtaz and Rummel ensure this in their FAVAR EViews Tutorial by estimation the observation equation (2) both without the policy rate (for slow-moving variables) and with the policy rate (for fast-moving variables) --> see step 9 right here:https://cmi.comesa.int/wp-content/uploads/2016/03/Ole-Rummel-13-Feb-Exercise-on-factor-augmented-VARs-EMF-EAC-9-13-February-2015.pdf
The alternative option would be to estimate the observation equation in a single step without taking the differentiation between slow- and fast-moving variables into account. Then, we receive loadings unequal to zero for the policy rate and, consequently, IRFs of slow-moving variables that start above or below zero. Technically, those two options are quite familiar, however, I stongly believe that only the one I mentioned first leads to the shock behaviour BBE mentioned in the statement above.
Why do you think that the assumtion regarding the loading matrix is debatable?
Again, thank you very much in advance for your feedback.