Air carrier Captain reported a GPWS CAUTION OBSTACLE message while on final approach. Flight crew continued approach and landed.

Narrative

I was the PM on a flight arriving into Louisville during day/VFR conditions. We were on day 3 of a 4 day trip and this flight had been delayed several hours so we could get legal crew rest as a result of a very late arrival the previous night. We were planning on a visual approach to Runway 35R backed up by the ILS and that is what was briefed before descent. Everything was normal and uneventful during the descent and arrival into the radar downwind. ATC descended us to 2;500 ft. on the downwind and then gave us a turn for a radar base pointing right at the FAF. Right as ATC was issuing the turn; my FO started turning the airplane before I could ask her if she was OK with that tight turn. Instead; I told her that this is really tight" and asked if she was OK with it to which she said something quietly (don't remember exactly what she said) which I perceived to be a yes. ATC asked us to report the field in sight and; after my FO said she had it; I reported that we did and ATC then cleared us for a visual approach to Runway 35R.Altitude/Obstacle Information: The ILS 35R has a glideslope intercept altitude/FAF of 2;400 ft. (PARCL) and another fix (HOSTO) that is inside the FAF and used for a LOC approach with a minimum altitude of 1;380 ft. MSL. There is a published obstacle at 1;067 ft. MSL just before HOSTO as well as terrain and towers to the left side of the final approach course with the highest published tower at 1;177 ft. between PARCL and HOSTO.As we turned base; the FO said "I'm setting a lower altitude" and proceeded to reach up to the altitude selector knob and set "1;000'" in the window. I immediately intervened and told her that altitude was too low and that we could only set it as low as 1;000 ft. ATDZE per manual. She asked what altitude that was and I was thinking about the 1;380 ft. crossing restriction at HOSTO so I told her 1;400 ft. (this was not correct as the TDZE was 480 ft. so I should have told her 1;500 - I had the crossing restriction confused with 1;000 ft. ATDZE). She then selected 1;400 ft. in the window. As we continued to descend; I told her we were too low and she needed to level off; which she did by pressing the ALT button (I don't recall the exact altitude we leveled off at but it was somewhere around 1;500 ft. -1;600 ft. which put us above the controlling altitude at HOSTO). After we leveled off; and had intercepted the localizer; we received a GPWS "CAUTION OBSTACLE" message and I saw the terrain information appear on my MFD. I had visual contact with all of the obstacles and terrain outside and determined that the aircraft was well clear; and I said that out loud to the PF. I believe our response was in compliance with SOP and we were on the centerline of the ILS course when the caution message occurred. Shortly after the caution message; we intercepted the glideslope and landed uneventfully. At no time did we get a EGPWS warning that would have required an escape maneuver per SOP.After landing; we debriefed the situation at the gate. Our debrief consisted of a review of the approach as we both recalled it as well as reviewing the applicable operations manual and SOP sections.Looking back there are several things that I should have done better. 1) The selection of 1;400 ft. in the altitude select window was too low per operations manual. 2) I could have been more assertive recommending my FO give herself some more room on the visual instead of just telling her that I thought it was really tight.3) Instead of telling the FO we were too low and to level off; I could have directed her to climb and/or taken over the flight controls to ensure the descent was arrested earlier. 4) A go around would have always been an option; especially when on the base turn when the FO stated she was setting a lower altitude - we had plenty of fuel."