Return to search

Monetary policy and the cross-section of stock returns: a FAVAR approach

Submitted by Victor Duarte (victorduarte2112@gmail.com) on 2012-08-24T18:58:09Z
No. of bitstreams: 1
FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-01-16T15:59:11Z (GMT) No. of bitstreams: 1
FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) / Made available in DSpace on 2013-01-16T16:01:55Z (GMT). No. of bitstreams: 1
FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5)
Previous issue date: 2012-05-28 / We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Identiferoai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/10392
Date28 May 2012
CreatorsPires, Victor Duarte Garcia
ContributorsCarvalho, Carlos Viana de, Bonomo, Marco Antônio Cesar, Escolas::EPGE, FGV, Berriel, Tiago Couto
Source SetsIBICT Brazilian ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Sourcereponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rightsinfo:eu-repo/semantics/openAccess

Page generated in 0.0019 seconds