The effects of macroprudential policy announcements on systemic risk

Kristina Bluwstein and Alba Patozi ()
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Alba Patozi: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH

No 1080, Bank of England working papers from Bank of England

Abstract: We construct a new data set of macroprudential policy announcements for the United Kingdom and estimate their effect on systemic risk, using a high-frequency identification approach. First, by examining a sample of the largest UK-listed banks, we identify macroprudential policy announcement shocks that were unanticipated by the financial markets. Second, we study the effects of market-based macroprudential policy surprises on systemic risk in a local projection framework. We find that tighter than expected macroprudential policy announcements contribute to a substantial reduction in perceived systemic risk in the short run, with effects persisting for several months. The reduction is mostly attributed to the reaction in equity and bond markets.

Keywords: Macroprudential policy; systemic risk; high-frequency identification; policy announcements (search for similar items in EconPapers)
JEL-codes: E58 G14 G18 G21 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2024-08-06
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:1080

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