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008251112t20252025onca    ob   f000 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
0410 |aeng|beng|bfre
043 |an-us---
0861 |aFB3-5/2025-29E-PDF
1001 |aKrohn, Ingomar, |eauthor.
24510|aDemand-driven risk premia in foreign exchange and bond markets / |cIngomar Krohn, Andreas Uthemann, Rishi Vala, Jun Yang.
264 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2025.
264 4|c©2025
300 |a1 online resource (iii, 52 pages) : |bcolour illustrations.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2025-29
500 |aISSN assigned to different series.
500 |a"Last updated: November 3, 2025."
504 |aIncludes bibliographical references (pages 50-52).
5203 |a"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.
546 |aIncludes abstracts in English and French.
650 0|aTreasury bills|zUnited States|xEconometric models.
650 0|aRate of return|xEconometric models.
650 0|aForeign exchange market|xEconometric models.
650 0|aBond market|xEconometric models.
650 6|aBons du Trésor|zÉtats-Unis|xModèles économétriques.
650 6|aTaux de rendement|xModèles économétriques.
650 6|aMarché des changes|xModèles économétriques.
650 6|aMarché obligataire|xModèles économétriques.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|v2025-29.|w(CaOODSP)9.806221
85640|qPDF|s1,020 KB|uhttps://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-29-eng.pdf