IDEAS home Printed from https://ideas.repec.org/p/boe/boeewp/1080.html
   My bibliography  Save this paper

The effects of macroprudential policy announcements on systemic risk

Author

Listed:
  • Kristina Bluwstein

    (Bank of England)

  • Alba Patozi

    (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.

Suggested Citation

  • Kristina Bluwstein & Alba Patozi, 2024. "The effects of macroprudential policy announcements on systemic risk," Bank of England working papers 1080, Bank of England.
  • Handle: RePEc:boe:boeewp:1080
    as

    Download full text from publisher

    File URL: https://www.bankofengland.co.uk/-/media/boe/files/working-paper/2024/the-effects-of-macroprudential-policy-announcements-on-systemic-risk.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Franklin Allen & Elena Carletti, 2013. "What Is Systemic Risk?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45, pages 121-127, August.
    2. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
    3. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
    4. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
    5. Linton,Oliver, 2019. "Financial Econometrics," Cambridge Books, Cambridge University Press, number 9781107177154, Enero-Abr.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
    2. Braun, Robin & Miranda-Agrippino, Silvia & Saha, Tuli, 2025. "Measuring monetary policy in the UK: The UK monetary policy event-study database," Journal of Monetary Economics, Elsevier, vol. 149(C).
    3. Wohlfarth, Paul, 2018. "Measuring the impact of monetary policy attention on global asset volatility using search data," Economics Letters, Elsevier, vol. 173(C), pages 15-18.
    4. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
    5. Ekaterina Pirozhkova & Nicola Viegi, 2024. "The Bank Lending Channel of Monetary Policy Transmission in South Africa," Working Papers 202443, University of Pretoria, Department of Economics.
    6. repec:spo:wpmain:info:hdl:2441/64veevce0i99oav223j3pkv1hf is not listed on IDEAS
    7. Swanson, Eric T., 2021. "Measuring the effects of federal reserve forward guidance and asset purchases on financial markets," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 32-53.
    8. Koeniger, Winfried & Lennartz, Benedikt & Ramelet, Marc-Antoine, 2022. "On the transmission of monetary policy to the housing market," European Economic Review, Elsevier, vol. 145(C).
    9. Janice C. Eberly & James H. Stock & Jonathan H. Wright, 2020. "The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 5-71, February.
    10. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    11. Bu, Chunya & Rogers, John & Wu, Wenbin, 2021. "A unified measure of Fed monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 331-349.
    12. Bauer, Michael D. & Offner, Eric A. & Rudebusch, Glenn D., 2025. "Green stocks and monetary policy shocks: Evidence from Europe," European Economic Review, Elsevier, vol. 177(C).
    13. repec:hal:spmain:info:hdl:2441/3mgbd73vkp9f9oje7utooe7vpg is not listed on IDEAS
    14. D’Amico, Stefania & King, Thomas B., 2023. "What does anticipated monetary policy do?," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 123-139.
    15. Nittai K. Bergman & David Matsa & Michael Weber & Michael Weber, 2022. "Inclusive Monetary Policy: How Tight Labor Markets Facilitate Broad-Based Employment Growth," CESifo Working Paper Series 9512, CESifo.
    16. Ricardo Lagos & Shengxing Zhang, 2020. "Turnover Liquidity and the Transmission of Monetary Policy," American Economic Review, American Economic Association, vol. 110(6), pages 1635-1672, June.
    17. Refet Gürkaynak & Hati̇ce Gökçe Karasoy‐Can & Sang Seok Lee, 2022. "Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect," Journal of Finance, American Finance Association, vol. 77(4), pages 2375-2421, August.
    18. Marc Burri & Daniel Kaufmann, 2024. "Measuring multiple monetary policy shocks based on heteroscedasticity," IRENE Working Papers 24-03, IRENE Institute of Economic Research.
    19. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
    20. Shang, Fei, 2022. "The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    21. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    22. Tatjana Dahlhaus & Luca Gambetti, 2018. "Noisy Monetary Policy," Staff Working Papers 18-23, Bank of Canada.

    More about this item

    Keywords

    Macroprudential policy; systemic risk; high-frequency identification; policy announcements;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boe:boeewp:1080. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Digital Media Team (email available below). General contact details of provider: https://edirc.repec.org/data/boegvuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.