Is anyone surprised? The high-frequency impact of US and domestic macroeconomic data announcements on Canadian asset prices

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

No 2025-10, Staff Analytical Notes from Bank of Canada

Abstract: Using almost two decades of detailed high-frequency data, we show how Canadian interest rates, the CAD/USD spot exchange rate, and stock market returns react to both US and domestic macro announcements. We find that Canadian macroeconomic announcements invoke greater responses in short-term yields, whereas US macroeconomic announcements play an increasingly important role in the yield movements of longer-term assets.

Keywords: Asset pricing; Exchange rates; Financial markets (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2025-03
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:25-10

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