High-Frequency Effects of Macroprudential Policy Announcements

Duprey, Thibaut; Tuzcuoglu, Kerem

doi:10.1016/j.econlet.2025.112264

High-Frequency Effects of Macroprudential Policy Announcements

2025

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Description

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.

Details

Resource Type

Journal Article

Series (Uniform Title)

Peer-Reviewed Publications
Publications à comité de lecture

DOI

https://doi.org/10.1016/j.econlet.2025.112264

Title

High-Frequency Effects of Macroprudential Policy Announcements

Creator

Duprey, Thibaut (Bank of Canada)
Tuzcuoglu, Kerem (Bank of Canada)

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.

JEL Codes

E58 Central Banks and Their Policies, G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages, G28 Government Policy and Regulation, G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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.

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Bank of Canada Research > Peer-Reviewed Publications

High-Frequency Effects of Macroprudential Policy Announcements

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