Is anyone surprised? The high-frequency impact of U.S. and domestic macro data announcements on Canadian asset prices

Blake DeBruin Martos, Rodrigo Sekkel, Henry Stern and Xu Zhang

Economics Letters, 2025, vol. 248, issue C

Abstract: We show how Canadian interest rates, the CAD/USD spot exchange rate, and stock market returns react to both U.S. and domestic macro announcements using almost two decades of detailed high-frequency data. We find that Canadian macro announcements invoke greater responses in short-term yields, whereas U.S. macro announcements play an increasingly important role in the yield movements of longer-term assets. While U.S. macro announcements are relatively more important to explain changes in Canadian stock market returns, domestic macro announcements have a larger impact on the CAD/USD spot exchange rate. We discuss the significance of our results for understanding the factors that influence Canadian financial markets.

Keywords: Macroeconomic news; asset prices; exchange rates; spillover; event-study (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:248:y:2025:i:c:s0165176525000692

DOI: 10.1016/j.econlet.2025.112232

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