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

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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.

JEL Code(s): G, G1, G14, G15

DOI: https://doi.org/10.34989/san-2025-10