Using Lasso-family models to estimate the impact of monetary policy on corporate investments

DOI10.1016/J.ECONLET.2021.110182zbMath1480.91139OpenAlexW3215343811MaRDI QIDQ2069975

Petre Caraiani

Publication date: 21 January 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110182

zbMATH Keywords

monetary policyLassostatistical learningcorporate financefirm-level datainvestment channel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• The macroeconomic effects of quantitative easing in the euro area: evidence from an estimated DSGE model
• CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS
• Financial Heterogeneity and the Investment Channel of Monetary Policy

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