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

Detalhes bibliográficos
Autor(a) principal: Pires, Victor Duarte Garcia
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/10392
Resumo: 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.
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spelling Pires, Victor Duarte GarciaEscolas::EPGEFGVCarvalho, Carlos Viana deBonomo, Marco Antônio CesarBerriel, Tiago Couto2013-01-16T16:01:55Z2013-01-16T16:01:55Z2012-05-28PIRES, 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.https://hdl.handle.net/10438/10392We 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.engStock returnsFAVARMonetary policyEconomiaPolítica monetáriaBolsa de valoresMonetary policy and the cross-section of stock returns: a FAVAR approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFPDFapplication/pdf1517093https://repositorio.fgv.br/bitstreams/f669f8f9-483e-4980-860b-d7efab1de3a4/download68490d17e1b30127bb95a56513507c8dMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/4b0f2b00-1f38-454c-9956-a7b86ad27033/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTFINAL.pdf.txtFINAL.pdf.txtExtracted 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dc.title.eng.fl_str_mv Monetary policy and the cross-section of stock returns: a FAVAR approach
title Monetary policy and the cross-section of stock returns: a FAVAR approach
spellingShingle Monetary policy and the cross-section of stock returns: a FAVAR approach
Pires, Victor Duarte Garcia
Stock returns
FAVAR
Monetary policy
Economia
Política monetária
Bolsa de valores
title_short Monetary policy and the cross-section of stock returns: a FAVAR approach
title_full Monetary policy and the cross-section of stock returns: a FAVAR approach
title_fullStr Monetary policy and the cross-section of stock returns: a FAVAR approach
title_full_unstemmed Monetary policy and the cross-section of stock returns: a FAVAR approach
title_sort Monetary policy and the cross-section of stock returns: a FAVAR approach
author Pires, Victor Duarte Garcia
author_facet Pires, Victor Duarte Garcia
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Carvalho, Carlos Viana de
Bonomo, Marco Antônio Cesar
dc.contributor.author.fl_str_mv Pires, Victor Duarte Garcia
dc.contributor.advisor1.fl_str_mv Berriel, Tiago Couto
contributor_str_mv Berriel, Tiago Couto
dc.subject.eng.fl_str_mv Stock returns
FAVAR
Monetary policy
topic Stock returns
FAVAR
Monetary policy
Economia
Política monetária
Bolsa de valores
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Política monetária
Bolsa de valores
description 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.
publishDate 2012
dc.date.issued.fl_str_mv 2012-05-28
dc.date.accessioned.fl_str_mv 2013-01-16T16:01:55Z
dc.date.available.fl_str_mv 2013-01-16T16:01:55Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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status_str publishedVersion
dc.identifier.citation.fl_str_mv 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.fl_str_mv https://hdl.handle.net/10438/10392
identifier_str_mv 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.
url https://hdl.handle.net/10438/10392
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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