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Using Financial Markets to Estimate the Macro Effects of Monetary Policy: An Impact-Identified FAVAR
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1959Dividends, Earnings, and Stock Prices1,301 cited
  • 2004The impact of monetary policy on asset prices956 cited
  • 2003Measuring The Reaction of Monetary Policy to the Stock Market744 cited
  • 2011Sign Restrictions in Structural Vector Autoregressions: A Critical Review689 cited
  • 2006The high-frequency response of exchange rates and interest rates to macroeconomic announcements484 cited
  • 2006The Dog that Did Not Bark: A Defense of Return Predictability474 cited
  • 2004Taking Stock: Monetary Policy Transmission to Equity Markets466 cited
  • 2008Identifying the interdependence between US monetary policy and the stock market441 cited
  • 2009Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data426 cited
  • 2013Should Macroeconomic Forecasters Use Daily Financial Data and How?

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331 cited
  • 2001The Cost Channel of Monetary Transmission305 cited
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