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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
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    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

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