CEU Electronic Theses and Dissertations, 2016
| Author | Chystiakova, Olena |
|---|---|
| Title | Does Investment React to Monetary Policy? Evidence from U.S. Non-financial Firms |
| Summary | The purpose of this thesis is to provide empirical evidence on the effectiveness of the monetary policy in the U.S. over the period from 2000-2015 in stimulating corporate investment. I assess the effectiveness through the combination of Tobin’s q effect and the balance-sheet channel of monetary policy transmission mechanism, considering the sample of U.S. non-financial companies included into S&P 1500 Composite Index. Particular interest of this work is whether changes in leverage driven by shifts in monetary regime affect firms’ investment decisions. In addition to traditional effective federal funds rate, I implement Wu-Xia shadow federal rate suited for the analysis of unconventional monetary policy mechanisms in zero lower bound framework. Applying Arellano-Bond estimator in dynamic panel model I show that change in the leverage driven by the shift in monetary policy regime is a statistically significant determinant of firms’ investment, which in addition reacts to changes in ratios of sales to capital and Tobin’s q. Easing monetary actions during zero lower bound represented by Wu-Xia shadow rate appears to be positively affecting firms’ investment. |
| Supervisor | László Halpern |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2016/chystiakova_olena.pdf |
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