Effects of macroprudential policy announcements on perceptions of systemic risks

Thibaut Duprey, Victoria Fernandes, Kerem Tuzcuoglu and Ruhani Walia

No 2025-4, Staff Analytical Notes from Bank of Canada

Abstract: We introduce a history of macroprudential policy (MPP) events in Canada since the 1980s. We document the short-run effects of MPP announcements on market-based measures of systemic risk and find that MPPs can influence the market’s perception of large banks’ resilience.

Keywords: Financial system regulation and policies; Financial stability; Financial institutions; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: E58 G21 G28 G32 (search for similar items in EconPapers)
Date: 2025-02
New Economics Papers: this item is included in nep-cba, nep-his, nep-mon and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocsan:25-4

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