Henry Stern - Latest

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

  Staff Analytical Note 2025-10 Blake DeBruin Martos, Rodrigo Sekkel, Henry Stern, Xu Zhang

  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.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Asset pricing, Exchange rates, Financial markets JEL Code(s): G, G1, G14, G15