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Causal effects of the Feds large-scale asset purchases on firms capital structure. (2023). Pesaran, Mohammad ; Nocera, Andrea.
In: Papers.
RePEc:arx:papers:2310.18638.

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  48. LSAP is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; π−1(γ) denotes the one-quarter lagged proportion of firms in an industry with DA below the γ-th quantile. The sample consists of an unbalanced panel of 3, 647 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
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  49. LSAP is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; π−1(γ) denotes the one-quarter lagged proportion of firms in an industry with DA below the γ-th quantile. The sample only includes firms with at least 8 time observations, resulting in an unbalanced panel of 3, 236 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
    Paper not yet in RePEc: Add citation now
  50. LSAP is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; π−1(γ) denotes the one-quarter lagged proportion of firms in an industry with DA below the γ-th quantile. The sample only includes firms with at least 8 time observations, resulting in an unbalanced panel of 3, 236 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
    Paper not yet in RePEc: Add citation now
  51. LSAP is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; π−1(γ) denotes the one-quarter lagged proportion of firms in an industry with DA below the γ-th quantile. The sample only includes firms with at least 8 time observations, resulting in an unbalanced panel of 3, 236 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
    Paper not yet in RePEc: Add citation now

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  57. Program Start Date End Date Description QE1 Nov 2008 Mar 2010 The Fed purchased $175 billion (bn) in agency debt, $1,250bn in agency MBS, and $300bn in longer-term Treasury securities.
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  58. QE2 Nov 2010 Jun 2011 The Fed purchased $600bn of longer-dated Treasuries.
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  62. The estimated quantile threshold parameters are shown in Table D.23. All regressions include both firmspecific effects and time effects. Columns (1) and (4) include industry-specific linear time trends, columns (2) and (5) include the interaction of industry dummies and real GDP growth, while columns (3) and (6) include both. LSAP is the (scaled) amount of U.S. Treasuries and agency MBS purchased by the Fed; π−1(γ) denotes the one-quarter lagged proportion of firms in an industry with DA below the γ-th quantile. The sample consists of an unbalanced panel of 3, 647 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
    Paper not yet in RePEc: Add citation now
  63. The sample consists of an unbalanced panel of 3, 647 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
    Paper not yet in RePEc: Add citation now
  64. The sample only includes firms with at least 10 time observations, resulting in an unbalanced panel of 3, 011 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
    Paper not yet in RePEc: Add citation now
  65. The sample only includes firms with at least 8 time observations, resulting in an unbalanced panel of 3, 236 U.S. publicly traded non-financial firms observed at a quarterly frequency over the period 2007:Q1 - 2018:Q3. Robust standard errors (in parentheses) are computed using the delta method (*** p < 0.01, ** p < 0.05, * p < 0.1).
    Paper not yet in RePEc: Add citation now
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  69. Wright, J. H. (2012). What does monetary policy do to long-term interest rates at the zero lower bound? The Economic Journal 122, F447–F466.

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  49. Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence. (2003). Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0305.

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  50. Consistent estimation of discrete-choice models for panel data with multiplicative effects. (2002). Thomas, Alban.
    In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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