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

dc.contributor.advisor	Berriel, Tiago Couto
dc.contributor.author	Pires, Victor Duarte Garcia
dc.date.accessioned	2013-01-16T16:01:55Z
dc.date.available	2013-01-16T16:01:55Z
dc.date.issued	2012-05-28
dc.identifier.citation	PIRES, Victor Duarte Garcia. Monetary policy and the cross-section of stock returns: a FAVAR approach. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2012.
dc.identifier.uri	http://hdl.handle.net/10438/10392
dc.description.abstract	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.	eng
dc.language.iso	eng
dc.subject	Stock returns	por
dc.subject	FAVAR	por
dc.subject	Monetary policy	por
dc.title	Monetary policy and the cross-section of stock returns: a FAVAR approach	eng
dc.type	Dissertation	eng
dc.subject.area	Economia	por
dc.contributor.unidadefgv	Escolas::EPGE	por
dc.subject.bibliodata	Política monetária	por
dc.subject.bibliodata	Bolsa de valores	por
dc.contributor.affiliation	FGV
dc.contributor.member	Carvalho, Carlos Viana de
dc.contributor.member	Bonomo, Marco Antônio Cesar

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