Effects of macroprudential policy announcements on perceptions of systemic risks

Staff Analytical Note 2025-4 (English)
Thibaut Duprey, Victoria Fernandes, Kerem Tuzcuoglu, Ruhani Walia
February 2025
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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.

Content Type(s): Staff research, Staff analytical notes
Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies
JEL Code(s): E, E5, E58, G, G2, G21, G28, G3, G32

DOI: https://doi.org/10.34989/san-2025-4