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Effects of macroprudential policy announcements on perceptions of systemic risks

Author

Listed:
  • Thibaut Duprey
  • Victoria Fernandes
  • Kerem Tuzcuoglu
  • Ruhani Walia

Abstract

We introduce a history of macroprudential policy (MPP) events in Canada since the 1980s. We document the short-run effects of MPP announcements on market-based measures of systemic risk and find that MPPs can influence the market’s perception of large banks’ resilience.

Suggested Citation

  • Thibaut Duprey & Victoria Fernandes & Kerem Tuzcuoglu & Ruhani Walia, 2025. "Effects of macroprudential policy announcements on perceptions of systemic risks," Staff Analytical Notes 2025-4, Bank of Canada.
    • Handle: RePEc:bca:bocsan:25-4
    DOI: 10.34989/san-2025-4
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    More about this item

    Keywords

    Financial system regulation and policies; Financial stability; Financial institutions; Econometric and statistical methods;
    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
    • 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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