This paper presents a dynamic factor model where theextracted factors and shocks are given a clear economic interpretation. Theeconomic interpretation of the \emph{factors} is obtained by means of a setof over-identifying loading restrictions, while the structural \emph{shocks}are estimated following standard practices in the SVAR literature.Estimators based on the EM algorithm are developed. We apply this frameworkto a large panel of US monthly macroeconomic series. In particular, weidentify five macroeconomic factors and discuss the economic impact ofmonetary policy shocks. The results are theoretically more plausible thanthose implied by standard SVAR models and indicate a significant role formonetary policy shocks in macroeconomic dynamics