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High-frequency effects of macroprudential policy announcements

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  • Duprey, Thibaut
  • Tuzcuoglu, Kerem

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.

Suggested Citation

  • Duprey, Thibaut & Tuzcuoglu, Kerem, 2025. "High-frequency effects of macroprudential policy announcements," Economics Letters, Elsevier, vol. 250(C).
    • Handle: RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001016
    DOI: 10.1016/j.econlet.2025.112264
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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