00000cam 2200000zi 4500 9.957262 CaOODSP 20251112104220 m o d f cr cn||||||||| 251112t20252025onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-us--- FB3-5/2025-29E-PDF Krohn, Ingomar, author. Demand-driven risk premia in foreign exchange and bond markets / Ingomar Krohn, Andreas Uthemann, Rishi Vala, Jun Yang. [Ottawa] : Bank of Canada = Banque du Canada, 2025. ©2025 1 online resource (iii, 52 pages) : colour illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2025-29 ISSN assigned to different series. "Last updated: November 3, 2025." Includes bibliographical references (pages 50-52). "We establish an empirical framework that causally identifies how Treasury demand shocks transmit across foreign exchange and global bond markets, providing direct validation of quantity-driven theories of international risk premia. Our identification exploits predetermined auction supply to isolate demand shocks from high-frequency movements in Treasury futures prices around Treasury auctions. A one-standard-deviation increase in Treasury demand causes the U.S. dollar to depreciate by 2 basis points against G9 currencies while generating 10-basis-point increases in foreign bond prices. Effects persist for two weeks, indicating meaningful economic impacts. The transmission mechanism varies systematically across countries: those with lower U.S. short-rate correlations exhibit stronger currency responses but weaker bond effects, while higher-correlation countries show the opposite pattern. This cross-sectional variation provides empirical support for models of segmented markets where global arbitrageurs link exchange rates and bond risk premia"--Abstract, page ii. Includes abstracts in English and French. Treasury bills United States Econometric models. Rate of return Econometric models. Foreign exchange market Econometric models. Bond market Econometric models. Bons du Trésor États-Unis Modèles économétriques. Taux de rendement Modèles économétriques. Marché des changes Modèles économétriques. Marché obligataire Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2025-29. (CaOODSP)9.806221 PDF 1,020 KB https://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-29-eng.pdf