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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.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/10392 |
| Date | 28 May 2012 |
| Creators | Pires, Victor Duarte Garcia |
| Contributors | Carvalho, Carlos Viana de, Bonomo, Marco Antônio Cesar, Escolas::EPGE, FGV, Berriel, Tiago Couto |
| Source Sets | IBICT Brazilian ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
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