Abstract

The paper empirically examines the effects of macroeconomic news announcements on the CDN/USD exchange rate. Our process started by dividing our sample observations into four groups: (1) Major US announcement days, (2) minor US announcement days, (3) Canadian news announcement, and (4) Non-announcement days. We compared the volatility for each of these groups based on five-minute intervals during the trading day. Using two different models, we examine which announcements have the greatest impact on the exchange rate. We find that the U.S. announcements that had the most impact were housing starts, leading indicator and to a lesser degree federal funds rate and merchandise trade deficit. The Canadian news announcements that were found to be most significant was the official bank rate followed by Canadian unemployment and Canadian Building permits