Does US or Canadian Macro News Drive Canadian Bond Yields?

Bruno Feunou, Rodrigo Sekkel and Morvan Donfack

No 2018-38, Staff Analytical Notes from Bank of Canada

Abstract: We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.

Keywords: Financial markets; International topics; Monetary Policy (search for similar items in EconPapers)
JEL-codes: C C2 C22 E E4 E43 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:18-38

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