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High-Frequency Effects of Macroprudential Policy Announcements

Duprey, Thibaut; Tuzcuoglu, Kerem
2025

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.

Title
High-Frequency Effects of Macroprudential Policy Announcements
Creator
Duprey, Thibaut (Bank of Canada)
Tuzcuoglu, Kerem (Bank of Canada)
DOI
https://doi.org/10.1016/j.econlet.2025.112264
Resource Type
Journal Article
Series (Uniform Title)
Peer-Reviewed Publications
Publications à comité de lecture
Publisher
Elsevier BV
Date
2025-04
Relevant Dates
Available: 2025-03-11
Published in
Economics Letters
Volume
250
Issue
112264
Language
English
Note
The views expressed in this paper are solely those of the authors and may differ from official Bank of Canada views. No responsibility for them should be attributed to the Bank.
Publication Citation
Duprey, T. and K. Tuzcuoglu. 2025. "High-Frequency Effects of Macroprudential Policy Announcements." Economics Letters 250 No. 112264. https://doi.org/10.1016/j.econlet.2025.112264.
JEL Codes
Record Appears in
Bank of Canada Research > Peer-Reviewed Publications

Relation Type
Resource Is New Version Of

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