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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Bibliographic Details

Published in:	MAGKS - Joint Discussion Paper Series in Economics (Band 08-2009)
Main Author:	Hayo, Bernd
Contributors:	Neuenkirch, Matthias
Format:	Work
Language:	English
Published:	Philipps-Universität Marburg 2009
Subjects:	Macroeconomic News Wirtschaft Central Bank Communication Bank of Canada Federal Reserve Bank, Financial Markets Monetary Policy Economics
Online Access:	PDF Full Text
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