Guérin, Pierre; Leiva León, Danilo - 2017
monetary policy shocks on the stock market. In doing so, we introduce a factor-augmented vector autoregressive model with … degree of comovement between each sector-specifi c stock return and the aggregate stock market as well as (ii) the … a more interconnected stock market is more prone to the propagation of monetary policy shocks. The MS2-FAVAR model is …