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

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

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.

Suggested Citation

  • Martos, Blake DeBruin & Sekkel, Rodrigo & Stern, Henry & Zhang, Xu, 2025. "Is anyone surprised? The high-frequency impact of U.S. and domestic macro data announcements on Canadian asset prices," Economics Letters, Elsevier, vol. 248(C).
    • Handle: RePEc:eee:ecolet:v:248:y:2025:i:c:s0165176525000692
    DOI: 10.1016/j.econlet.2025.112232
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    References listed on IDEAS

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    1. Bernd Hayo & Matthias Neuenkirch, 2012. "Domestic Or U.S. News: What Drives Canadian Financial Markets?," Economic Inquiry, Western Economic Association International, vol. 50(3), pages 690-706, July.
    2. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    3. Christoph E. Boehm & T. Niklas Kroner, 2020. "The US, Economic News, and the Global Financial Cycle," Working Papers 677, Research Seminar in International Economics, University of Michigan.
    4. Ann Xing, Bingxin & Feunou, Bruno & Nongni-Donfack, Morvan & Sekkel, Rodrigo, 2024. "U.S. macroeconomic news and low-frequency changes in bond yields in Canada, Sweden and the U.K," Journal of Banking & Finance, Elsevier, vol. 168(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Macroeconomic news; asset prices; exchange rates; spillover; event-study;
    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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