IDEAS home Printed from https://ideas.repec.org/p/bca/bocsan/25-10.html
   My bibliography  Save this paper

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

Author

Listed:
  • Blake DeBruin Martos
  • Rodrigo Sekkel
  • Henry Stern
  • Xu Zhang

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.

Suggested Citation

  • Blake DeBruin Martos & Rodrigo Sekkel & Henry Stern & Xu Zhang, 2025. "Is anyone surprised? The high-frequency impact of US and domestic macroeconomic data announcements on Canadian asset prices," Staff Analytical Notes 2025-10, Bank of Canada.
  • Handle: RePEc:bca:bocsan:25-10
    DOI: 10.34989/san-2025-10
    as

    Download full text from publisher

    File URL: https://doi.org/10.34989/san-2025-10
    File Function: Abstract
    Download Restriction: no

    File URL: https://libkey.io/10.34989/san-2025-10?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Asset pricing; Exchange rates; Financial markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocsan:25-10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bocgvca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.