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. 2022 Jan 11;60:101613. doi: 10.1016/j.ribaf.2022.101613

Table 6.

The effect of macroprudential policy announcements on volatility.

Const. RVD RVW RVM Actt+1 Actt Actt−1 R2
Panel A: Europe
BE-BFX 0.983d 0.473d 0.423d −0.073 0.012 −0.002 0.044c 0.792
CH-SSMI 0.511b 0.441d 0.631d −0.157b −0.064d −0.035 0.007 0.776
DE-GDAXI 0.828c 0.499d 0.473d −0.125b 0.024a −0.002 0.022a 0.807
DK-OMXC20 0.914d 0.484d 0.495d −0.145c 0.003 0.003 0.015 0.732
ES-IBEX 0.650c 0.462d 0.530d −0.099 0.014 −0.020 0.008 0.791
EU-STOXX50E 0.950c 0.487d 0.436d −0.088 0.006 0.025 0.003 0.760
FI-OMXHPI 1.032d 0.517d 0.399d −0.112b 0.029b 0.012 0.018 0.750
FR-FCHI 0.914c 0.434d 0.506d −0.104 0.017 0.011 0.016 0.783
GB-FTSE 0.920c 0.334d 0.562d −0.051 −0.017 0.027 0.030 0.664
IT-FTMIB 0.834d 0.496d 0.460d −0.110a 0.010 0.023 0.006 0.796
NL-AEX 0.899d 0.454d 0.516d −0.135b 0.011 0.006 0.027a 0.780
NO-OSEAX 1.350d 0.323d 0.535d −0.101 0.044b 0.012 0.043 0.623
SE-OMXSPI 1.091d 0.532d 0.395c −0.142c 0.055d 0.012 −0.002 0.797
Panel B: America
BR-BVSP 0.470 0.526d 0.440d −0.041 −0.018 0.030 −0.027 0.767
CA-GSPTSE 0.412c 0.527d 0.473d −0.081 0.035 −0.012 −0.029 0.814
MX-MXX 0.807b 0.253c 0.515d 0.080 0.055b −0.017 0.023 0.501
US-DJI 0.354 0.529d 0.472d −0.049 −0.025 0.052d −0.069d 0.803
US-IXIC 0.341 0.598d 0.304c 0.056 −0.018 0.065c −0.094d 0.752
US-RUT 0.455a 0.598d 0.352d −0.026 0.005 0.052d −0.063d 0.808
US-SPX 0.290 0.563d 0.413d −0.014 −0.020 0.070d −0.091d 0.807
Panel C: Asia and Australia
CN-SSEC 0.856c 0.571d 0.296c −0.027 −0.049c −0.032 −0.055b 0.629
HK-HSI 1.250d 0.492d 0.317c −0.047 0.193a −0.087d 0.062b 0.588
IN-BSESN 0.446a 0.459d 0.557d −0.087 0.001 0.002 −0.053c 0.783
IN-NSEI 0.501c 0.578d 0.414d −0.075 0.005 0.002 −0.039a 0.797
JP-N225 0.523b 0.352d 0.632d −0.079 0.005 −0.019 −0.050 0.722
KR-KS11 1.097d 0.394d 0.535d −0.137a −0.006 0.043c 0.016 0.701
SG-STI 0.492b 0.288d 0.736d −0.119 −0.011 0.051b −0.075d 0.757
AU-AORD 0.818b 0.325c 0.604d −0.082 0.066c 0.013 −0.021 0.730

Note: a, b, c, d in superscript denote significance at the 15%, 10%, 5%, and 1%, levels, respectively. The values in bold show all statistically significant coefficients at the 15% level. Const. represents a constant. RVD is realized volatility from the previous day, RVW and RVM is the average realized volatility from the previous week (5 days) and month (2 days) respectively. Actt+1, Actt, Actt−1 are dummy variables multiplied by (RVtD). It represents action that were performed after, during, or before each day, respectively. R2 represents R-squared. The models are estimated using ordinary least squares (OLS) and the standard errors are obtained via heteroskedasticity- and autocorrelation-consistent (HAC) estimator (Newey and West, 1994). List of countries and stock indices is presented in Table 1.