High-frequency effects of macroprudential policy announcements

Thibaut Duprey and Kerem Tuzcuoglu

Economics Letters, 2025, vol. 250, issue C

Abstract: We investigate high-frequency impacts of macroprudential policy announcements using novel Canadian daily data. Lender-side tightening announcements reduce large banks’ perceived systemic risks but decrease bank stock prices. Borrower-side tightening announcements increase mortgage rate spreads and real estate investment stock prices.

Keywords: Macroprudential policy; Systemic risk; Financial stability; Bank resilience; Local projections (search for similar items in EconPapers)
JEL-codes: E58 G21 G28 G32 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001016

DOI: 10.1016/j.econlet.2025.112264

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