Headline news alone explains a small portion of asset price changes https://www.banqueducanada.ca/?p=202488 Inflation 2-year rolling R² with both headline and non-headline surprises Retail sales 2-year rolling R² with both headline and non-headline surprises GDP 2-year rolling R² with both headline and non-headline surprises Employment 2-year rolling R² with both headline and non-headline surprises 20.0552002.31290024.56440032.050500 21.0526002.69720017.54240032.087600 18.4046002.06710017.01890032.351700 19.7876001.77780016.70610032.467300 10.0392002.00190016.56670032.307100 13.9704001.65500016.23090032.193300 14.4710006.89070017.86140032.036800 16.5054007.00980016.28620028.390800 20.2107007.25110016.72930026.914600 18.3734006.54820014.31380033.609200 14.3940006.14470013.20720033.074700 16.49020010.89570012.64570038.651800 17.91720012.3761006.42930039.484600 19.45170012.7818006.54560035.163700 22.87030013.8657002.67110035.661200 24.25190014.0194003.20880044.316400 20.46650017.5262003.52350044.394100 24.45530022.3246004.73310043.793300 25.67530025.01320012.62430043.717700 30.25220034.40170012.50720042.202200 40.80310036.43720012.94790046.658800 45.38450036.66790012.17250051.852200 51.90960035.21630011.80780049.784200 50.33510033.33910017.22120051.470500 44.91150031.92860017.72040045.296900 45.40670032.03890031.77990045.964800 47.89040031.75930030.46580047.389200 47.70430032.90590025.20380050.369600 49.79950032.28600024.53010051.797200 38.79900033.52490021.24230049.472000 38.81470034.04580018.23200049.301500 37.15910034.10660019.52400050.981500 37.60790030.11160024.27470053.644100 39.59730029.48810024.22530050.047600 40.61630027.71840027.93870051.286100 40.64120019.09040027.71110041.804600 40.83690017.80010032.38180040.794200 39.42980017.28810033.02880028.970400 39.65470017.15020033.97290032.352700 40.12600019.32290032.85380030.552500 40.10440019.37690032.66380033.573800 41.58980021.01300032.47400034.296400 41.16430016.03700026.88310033.664900 39.51050016.72940026.05260035.007400 30.98830014.93100027.38710039.538600 32.03150016.65800028.45280040.900300 20.60650016.00040029.11000039.927500 14.01150011.82740019.37970035.311800 19.28540014.79320020.53720039.947700 16.02610014.85750023.81070035.413800 12.40190015.05770021.69690034.127100 10.71810017.12610027.29880029.521100 10.54870017.88140026.47250026.791600 20.07840017.07340026.22340033.477300 19.46970017.18270021.56600032.322600 21.7861007.36040022.25120030.124100 23.83340011.36530015.54400028.209200 25.32340010.8836005.70850026.089200 31.89670010.9798004.68210029.329300 32.35640011.1016003.63300030.177000 32.18600010.8584002.87050030.346100 31.8275009.5394004.06430038.394200 31.5486009.3381001.82910034.375700 31.7091009.1215002.28130036.403700 29.6913008.9140001.25560032.690700 26.6925008.2378006.70040031.256500 27.0268009.6502008.47090032.319500 29.24980012.74760011.06720028.146200 31.49340015.54830011.01910025.117700 26.22250022.96080021.37790024.830300 18.50570022.04340025.19910027.041300 18.66240025.55720025.88260027.135000 17.40500027.54640026.37770024.287000 17.52290027.78290025.69740030.822200 20.62360027.81680028.11260030.686600 20.72670028.70910028.34110030.943800 21.38010029.36360028.21020034.169900 24.95210029.18710028.20940026.212800 22.15160016.68370032.77370023.375800 20.68830020.07620032.82940025.985500 22.53280017.61210033.10470027.442700 22.48600020.86340033.41940025.904400 16.48130021.07270033.38960025.637400 15.26420023.77030032.18350022.632100 16.67450023.90760030.14790026.485900 29.16490025.50710036.39010024.404200 29.91770021.83340036.94820023.734300 29.17690023.41640037.80650020.487500 30.98680023.29950038.98080021.076300 36.18810021.39870037.88710024.271400 25.15270020.56520037.80050022.864500 25.72950018.16420038.52880024.681800