High-frequency effects of macroprudential policy announcements

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-03-11 DOI:10.1016/j.econlet.2025.112264

Thibaut Duprey, Kerem Tuzcuoglu

引用次数: 0

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.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.