Duarte, Victor; Carvalho, Carlos; Berriel, Tiago - Society for Economic Dynamics - SED - 2013
We use an identified 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 financial and macroeconomic indicators with the Federal Funds rate. We...