D - Microeconomics

• The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market

  Staff Working Paper 2018-35 Jeffrey Gao, Jianjian Jin, Jacob Thompson

  This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Debt management, Financial markets JEL Code(s): D, D5, D53, G, G1, G12, G18, G2, G3, G32

• Does Outward Foreign Investment Matter for Canadian Productivity? Evidence from Greenfield Investments

  Staff Working Paper 2018-31 Naveen Rai, Lena Suchanek, Maria Bernier

  This paper seeks to understand how outward foreign direct investment (FDI) affects the productivity of Canadian firms. We estimate the impact of outward greenfield investment on measures of firm-level productivity using FDI data from roughly 2,000 Canadian firms and more than 4,000 outward FDI projects over the 2003–14 period.

  Content Type(s): Staff research, Staff working papers Topic(s): Firm dynamics, Productivity JEL Code(s): D, D2, D24, F, F2, F21, F23

• A Look Inside the Box: Combining Aggregate and Marginal Distributions to Identify Joint Distributions

  Staff Working Paper 2018-29 Marie-Hélène Felt

  This paper proposes a method for estimating the joint distribution of two or more variables when only their marginal distributions and the distribution of their aggregates are observed. Nonparametric identification is achieved by modelling dependence using a latent common-factor structure.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C14, D, D1, D14, E, E4, E41