Title: Using statistical learning to model the monetary policy transmission mechanism
Authors: Petre Caraiani - Bucharest University of Economic Studies; Institute for Economic Forecasting (Romania) [presenting]
Abstract: The transmission mechanism of monetary policy is studied using a large firm-level dataset on US firms. Drawing on modern machine learning techniques, the aim is to uncover the underlying transmission mechanism of monetary policy shocks in a high dimensional data environment. The research aims at uncovering New channels of monetary policy are uncovered, established ones are confirmed or discarded by relying on adapted statistical learning techniques.