Domestic or U.S. News: What Drives Canadian Financial Markets?
Using a GARCH model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, central bank communication and macro news from both countries have an impact on Canadian financial m...
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| 發表在: | MAGKS - Joint Discussion Paper Series in Economics (Band 08-2009) |
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| 格式: | Arbeit |
| 語言: | 英语 |
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Philipps-Universität Marburg
2009
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