frictions (monitoring or auditing costs) increase, the reaction of stock prices to monetary policy shocks decreases …. Correspondingly, towards the end of the Enron accounting scandal, the stock prices of firms sharing the same auditor as Enron …

these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the …

In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the … scheme does not fall back on any of the standard (FA)VAR identifying assumptions, it confirms the classical finding that …