DOMESTIC OR U.S. NEWS: WHAT DRIVES CANADIAN FINANCIAL MARKETS?
用GARCH模型研究加拿大和美国央行沟通及宏观经济新闻对加拿大债券、股票和外汇市场的影响，发现加拿大央行沟通更重要，但美国宏观新闻主导市场。
Using a generalized autoregressive conditional heteroscedasticity (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, Canadian central bank communication is more relevant than its U.S. counterpart, whereas in the case of macro news, that originating from the United States dominates. Second, we find evidence that the impact of Canadian news reaches its maximum when the Canadian target rate departs from the U.S. target rate (2002–2004) and thereafter. The introduction of fixed announcement dates initially does not cause a noticeable break in the data.