Vector auto regressions (VARs) are supposed to tell us how the economy would respond over time if hit by a shock, by looking at past patterns of responses to shocks. A "shock" means "a deviation of one of the variables in the VAR from the level that was forecast by the VAR". And "shocks" include policy shocks.
1. Suppose at its next meeting the Bank of Canada increased the overnight rate from 0.75% to 1.50%. And suppose this was a totally unexpected move. And suppose a computer glitch meant that the Bank's statement explaining why it had done this was never published. How would markets react to the shock?
2. Now ask exactly the same question, but suppose the Bank of Canada instead reduced the overnight rate from 0.75% to 0.00%. How would markets react to the shock?
A VAR would give exactly opposite answers to those two questions. If you take the answer to the first question, reverse all the signs, you would get the answer to the second question. (That's only strictly true for a linear model.)
I think the answers to the two questions would be pretty much the same. The immediate response would be: "WTF!?".