EconPapers    
Economics at your fingertips  
 

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

Petre Caraiani

Economics Letters, 2022, vol. 210, issue C

Abstract: In this paper, I use LASSO-family models to select the relevant explanatory variables for the transmission of monetary policy shocks on investments and discuss the implications for the transmission mechanism of monetary policy. The results here point to the effect that Lasso techniques help select the relevant regressors. When the covariates are selected using this procedure, the impact of monetary policy shocks on corporate investments is about 20% lower than that for a baseline approach.

Keywords: Monetary policy; Investment channel; Corporate finance; Firm-level data; Statistical learning; Lasso (search for similar items in EconPapers)
JEL-codes: E44 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176521004420
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004420

DOI: 10.1016/j.econlet.2021.110182

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-09-28
Handle: RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004420