samchain/econo-pairs-v1 huggingface dataset:
25 More detail about the Fed’s purchases of agency MBS can be found in my “Concluding Remarks at the Monetary  Policy Implementation in the Long Run Conference,” Federal Reserve Bank of Minneapolis, Minnesota, October 19, 2016. 26 Broad market indicators include, among others, trading volumes, bid-ask spreads, trade quote sizes, financing  costs, and settlement fails. Operations also yield valuable information, including executable prices compared to those prevailing in the market, counterparty concentration measures, and settlement fails. 27 The TBA market is a forward market that allows market participants to efficiently trade a wide range of agency  MBS with similar characteristics without requiring them to analyze the underlying details of each individual mortgage security, since any security with the same agency issuer, original maturity term, and coupon can be delivered into a single TBA contract. This structure transforms a market of hundreds of thousands of individual mortgage securities into a limited number of homogenous TBA contracts. For more information on the TBA market, see James Vickery and Joshua Wright, “TBA Trading and Liquidity in the Agency MBS Market,” Federal Reserve Bank of New York Economic Policy Review 19, no. 1, May 2013. 28 A dollar roll sale is a transaction that involves the sale of agency MBS for delivery in one month and the  simultaneous agreement to purchase substantially similar securities in a later month, thus effectively postponing delivery when there is a dislocation in available supply.

I think the gradual and predictable approach the FOMC has adopted has been successful so far, but we will learn more as we proceed and as other central banks reach those milestones as well. 1 My discussion here focuses on the Federal Reserve’s actions to adjust the stance and conduct of monetary  policy in pursuit of its statutory mandate of full employment and price stability. However, the Fed’s response to the crisis also included numerous temporary programs and facilities aimed at supporting the liquidity of financial institutions and fostering improved conditions in key financial markets. 2 The Fed’s outright purchases of securities did not raise any credit risk exposure. 3 The FOMC also undertook a program to extend the maturity profile of its Treasury holdings. This Maturity  Extension Program (MEP) did not affect the portfolio’s overall size, yet still increased the portfolio’s duration risk —an important characteristic of all asset purchase programs. A common metric for communicating about the dollar value of duration risk held in the portfolio is in terms of ten-year Treasury equivalents. 4 9 / 13  BIS central bankers' speeches  4 Even before asset purchases were launched, the reserve-adding effects of the Fed’s crisis-related lending  programs highlighted shortcomings of its pre-crisis monetary policy implementation framework.
A cautious combination of a negative repo rate and bond purchases So how have we chosen to act, and what have the results been, so far? Up to this point, we have kept to changes to the repo rate and repo rate path, and purchases of government bonds. As it has not been completely certain how these would function in practice, there has been reason to proceed cautiously. We have combined several measures over the past year to make the combined effect sufficiently great. Over a number of stages, we have cut the repo rate and/or the repo rate path, at the same time as we have announced and initiated bond purchases in amounts that have been increased in several stages (see Figure 4 and Figure 5). In addition, in our communication, we have emphasised our preparedness, if necessary, to also rapidly increase monetary policy stimulus between the ordinary monetary policy meetings held every second month. In March 2015, we did exactly this – we took a decision on new monetary policy stimulus between two ordinary meetings. The repo rate cuts have largely worked As regards the repo rate cuts, so far we have been able to observe that lending rates followed to a normal extent, while deposit rates have stopped at zero for everybody except some larger companies.

However, speaking for myself, I have always seen the repo rate path as a component of our ambition to be transparent as it shows which repo rate we include in our forecasts. And we always emphasise that the repo rate path itself is a forecast and not a promise. One important source of the difficulties that Goodfriend and King point out is the unclear allocation of roles, responsibilities and instruments for managing the work of financial stability and macroprudential policy in Sweden. As I have already mentioned, I consider sorting this matter out to be a matter of great urgency, considering that Sweden has one of Europe’s largest banking systems in relation to GDP. 6  Goodfriend, M. and King, M., “An assessment of Swedish monetary policy 2010–2015”, Riksdag Committee on Finance, Sveriges Riksdag, 2016. 7  “Time to improve the inflation target?”, published 3 December 2015. BIS central bankers’ speeches  7  This spring, Goodfriend and King’s assessment will provide an excellent basis for the discussion of monetary policy and the issues that a modern central bank must manage. These unusual times are placing great demands on both monetary policy and macroprudential policy. It is important that we are able to meet these challenges in the right way. 8  BIS central bankers’ speeches  Figure 1. Inflation targeting has made inflation lower, more stable and more predictable. Note. Annual percentage change. Sources: Statistics Sweden and the Riksbank  Figure 2. Average mortgage rate and corporate rate, and repo rate  Note.
Let me share with you some thoughts about what I have perceived at the meetings I have held in recent months with monetary authorities around the world. The central bank governors of developed economies, plus some from emerging markets, get together once every two months to share our views on the global economic and financial situation. Two things have called my attention in the three meetings I have attended since I assumed as the governor of the CBC. On the one hand, the severity and gravity of the situation of some developed countries. Being so distant geographically from the main financial centers of the world, in Chile we often fail to grasp in full dimension the hardships facing some economies that interact with us. These meetings allow us to see firsthand these situations and feel their true magnitude. On the other, I am amazed by the high prestige that the Chilean economy enjoys in these same arenas. It is clearly set apart from others, because of its strength, its sound macroeconomic administration and the efficacy of its institutions. Of course this makes us confident as it gives us more and better tools to confront possible shocks coming from abroad. Our responsibility is twofold. On the one hand, is to keep inflation low and stable, to help in achieving sustainable growth. On the other hand, is to contribute with our powers to identify and address the risks threatening the normal functioning of our financial system.

As in late 2011, the main effects of these tensions in emerging economies, aside from lower commodity prices, have been the depreciation of their currencies, fallen stock prices and increased risk premiums on their external bonds. Chile has not been spared, although as of the statistical closing of these Reports the effects have been limited. Compared with March, the peso/dollar parity has depreciated somewhat below 5 percent; the stock market, as measured by the selected price index IPSA in pesos, has lost over 7 percent, and the sovereign premiums of Chilean CDS have risen nearly 40 basis points. Money markets, meanwhile, have operated normally. In contrast with the developed world, in Chile domestic output and demand are still strong. In the first quarter, y-o-y GDP growth exceeded March’s forecasts. However, in quarter-to-quarter terms it lost strength with respect to late 2011 and grew according to trend. Inflation has been lower than expected, which, combined with the drop in international fuel prices, has reduced the risks for its short-term evolution. In general, medium-term inflationary risks are still latent because domestic markets remain tight. In this context, the Board has kept the monetary policy interest rate (MPR) at 5 percent since January, and has conditioned its future movements to the implications of domestic and external conditions on the inflation outlook. Chile is on a healthy position to confront further deterioration of the global scenario.
This long-standing and widely held view reflects the 4  The analysis of Gita Gopinath, Emmanuel Farhi, Matteo Maggiori and Jeremy Stein, amongst others, emphasises the persistence in the structure of the current IMFS. 5 See Corsetti, G, Dedola, L, and Leduc, S (2010), ‘Optimal Monetary Policy in Open Economies’, Handbook of Monetary Economics, Vol. 3, Chapter 16, pp. 861-933; and Benigno, G and Benigno, P (2006), ‘Designing targeting rules for international monetary policy cooperation’, Journal of Monetary Economics, Vol. 53(3), pp. 473-506. In the standard welfare-based analyses of optimal monetary policy in an open economy, a key consideration is the extent to which sticky prices in different currencies lead to deviations from the law of one price (LOOP) for different goods. The first-best (efficient) outcome is for goods to sell for the same price when converted into different currencies. If this is not the case, demand is misaligned internationally, which in turn creates an inefficient allocation of factor inputs. Under PCP, the full flexibility of import prices means the exchange rate can act as an efficient shock absorber, adjusting to ensure that the LOOP holds. 5  All speeches are available online at www.bankofengland.co.uk/news/speeches  5  beliefs that any externalities that might exist are almost trivially small and that trying to address them would be fine-tuning to the nth degree. The mainstream view is increasingly anachronistic for several reasons.

The purple bars build on the contribution of pull factors to the conditional 5th percentile of capital flows in the current quarter and two quarters ahead. Pull factors are proxied by domestic financial condition indices (DFCIs), which are mean-orthogonalised by a global financial conditions index (GFCI). The coefficient on the DFCIs is estimated by panel quantile regressions. Push factors are proxied by the Bank of England’s global financial conditions index. The chart shows PPP-weighted averages across the 13 EMEs in our panel. Chart 7: For EMEs, market-based finance accounted for all the increase in foreign lending since the crisis Structure of external liabilities for emerging market economies  Sources: IMF, EPFR and Bank of England calculations  20  All speeches are available online at www.bankofengland.co.uk/news/speeches  20  Chart 8: Market-based finance flows are particularly sensitive to push shocks The sensitivity of Capital Flow-at-Risk to push factors, by source of capital flow FDI  Banking  Market-based finance  of which: investment funds 0 -1 -2 -3 -4  Median  5th percentile  -5 Capital Flows-at-Risk as a % of GDP  Sources: IMF, EPFR, Bank calculations. Notes: Chart shows the sensitivity of different capital flows to a negative "push" shock. Coefficients are standardised by each component’s share of total flows e.g. the red MBF bar shows how total Capital Flows-at-Risk would respond to a one standard deviation tightening in global financial conditions if all capital flows were accounted for by MBF.
Jan F Qvigstad: Trends in monetary policy transparency – comments on Petra M Geraats' paper Speech by Mr Jan F Qvigstad, Deputy Governor of Norges Bank (Central Bank of Norway), at the conference "International Experience with the Conduct of Monetary Policy under Inflation Targeting", hosted by Bank of Canada, Ottawa, 24 July 2008. The Charts in PDF-format can be found on the Norges Bank’s website. *  *  *  The paper by Petra Geraats provides an up-to-date and thorough analysis of the trends in transparency during the last ten years. Her analysis confirms the general trend of improved transparency, but she also provides an interesting analysis of the differences across alternative monetary policy regimes. I am sure Petra’s paper will be a key reference in future research and policy discussions on transparency. 1 As discussed in the paper, transparency can be motivated both by accountability requirements for independent central banks, and by the purpose of enhancing the effectiveness of monetary policy. Both have been important factors behind the process in Norges Bank towards increased transparency. It is now widely accepted that monetary policy works mainly through private agents’ expectations. The widespread influence of the New Keynesian model in academic research on monetary policy and the trend towards using DSGE models in central banks have underpinned the focus on expectations. Michael Woodford puts it in a clear-cut way: 2 “For not only do expectations about policy matter, […] very little else matters”.

However, since no central bank follows a specific reaction function mechanically, it would be misleading to present a single reaction function specified mathematically. Judgement is always applied when responding to shocks, and a specific reaction function will give a very simplified representation of the reaction pattern. There is thus a trade-off between misleading precision and uninformative generality. Norges Bank tries to balance this trade-off by applying various approaches to communicating the reaction pattern. 2  BIS Review 94/2008  First, the Bank presents alternative scenarios in the Monetary Policy Report. Chart 2 illustrates the interest rate response to a positive and negative shock to inflation respectively. The exact specification of the shocks in the illustrations can differ somewhat from one Report to another, but the shifts in the interest rate, and the corresponding scenarios for inflation and the output gap give an indication of how the Bank responds. The shifts are specified such that, if shocks of the same type and size should occur, the alternative interest rate path is the Bank’s best estimate of how the interest rate would be set in such a situation. In addition to presenting policy reactions to new developments, the Monetary Policy Report includes an account of the disturbances that have lead to a change in the interest rate forecast from the previous Report. For example, we see from Chart 3 that our interest rate forecast was revised upwards in the Monetary Policy Report 2 published in June. The shocks contributing to this revision are illustrated in Chart 4.
Single Resolution Board Annual Conference – Brussels, 19 September 2022 Armed peace and risk proportionality: how to strike the right balance  Speech by François Villeroy de Galhau, Governor of the Banque de France  Page 1 sur 5 Ladies and Gentlemen, It is a great pleasure for me to be with you at the European Commission for the 2022 SRB annual conference, and I would like to warmly thank Dr Elke König for her invitation to give this keynote speech today. Above all, I would like to pay tribute to Elke for her hard work as first Chair of the SRB since its creation in 2015 – SRB staff can also be very proud. You have a strong ally in France, with whom I have great pleasure working each and every week: Dominique Laboureix. I won’t be betraying any great secrets by saying how much he enjoyed taking part in this creation, and how much he remains attached to the SRB. The title of this conference (“European banks: resolvable and ready for crisis?”) may cause some anxiety – yet a healthy type of anxiety. It reminds us of possible dangers ahead, and serves as a strong reminder of what happened to banks during and in the aftermath of the great financial crisis. The temptation to forget about these events would be a huge mistake: lessons of the past, especially of that kind, should remain vivid memories that motivate us, day after day, to build a safer system.

But is there more that we can do to manage the tensions created by these economic 2/3  BIS central bankers' speeches  divergence? Put another way, how do we reconcile yet another paradoxical couple: independence and co-operation? Obviously the question is not to go back to a world of accords negotiated in hotel suites. But we can and should act to enhance co-operation between central banks. Such co-operation includes four elements: Mutual predictability of policy making. We will achieve the closest to a co-operative solution if we avoid large surprises between policy makers. While trade multilateralism is at risk, monetary and financial multilateralism stands fast, fortunately. This means continuing to favor dialogue and exchange of information among central banks, and to be very clear about our monetary policy regime choice. We should cherish the “great convergence” of policy objectives of the last fifteen years. Among major advanced economies, we now have domestic inflation targeting around a 2% medium-term objective. We are ruling out any currency war, as clearly stated in our unanimous Bali communiqué: ``We will not target our exchange rates for competitive purposes’’. On capital flow management (CFM) measures, we should support the ongoing reflections undertaken within the relevant international bodies and give priority to practical and pragmatic solutions – IMF type – rather than dogmatic purity. Last, I can only quote you, Tharman, and your impressive EPG report: “It is critical that we put in place a reliable Global Financial Safety Net before the next crisis” and co-ordinate its different layers.
With regard to prices, inflation increased slightly more than expected in 2001. This can be partly explained by unexpected price increases on, for instance, fruit and vegetables; the price of these product groups will probably continue to increase slightly more than expected in the short term. Imported inflation has increased more than expected in both the producer and consumer areas, which could be due to the exchange rate’s effect on prices being slightly higher than assumed. However, price increases have also been broader and higher than expected for other goods and services. My view of the current situation So how do I assess the situation in which we find ourselves today? Firstly, I feel that confidence in the future and willingness to take risks appear to have recovered from the shock of 11 September. But what will happen to inflation? There are three reasons why inflation should fall this year. The first is that growth in demand and utilisation of resources were both lower than expected last year, which subdues price pressure for the near future. The second is that inflation expectations are disposed towards a decline in inflation, according to recent surveys. And the third is that the krona has appreciated slightly, which means a lower risk of imported inflation. On top of this, the effects of last year’s price rises on certain goods and services, including food and energy, will gradually abate. However, there is also a risk that the price rises will not abate on their own.

Specifically, our research indicates that when college tuition rises in a state, it leads to higher levels of student debt and a lower homeownership rate. These factors matter for inequality and social mobility, because increasing home equity is the major form of wealth accumulation for the great majority of American families. Thus, rising tuition and changes in the way that college is financed appear to have diminished the ability of higher education to lift people from poverty into the middle class. Of course, students’ reliance on debt and the returns from graduating vary across educational institutions. Of particular interest here is recent work by Raj Chetty and his co-authors showing that some colleges—some of which can be found in the CUNY and California state systems— appear to be much better at fostering economic mobility than others. In other words, they accept relatively large numbers of lower-income students while also producing large numbers of high earners, which means that these institutions facilitate considerable upward mobility. Learning exactly how they do it and how it can be replicated strikes me as a first-order question for further study. Recent research by Caroline Hoxby to assess differences in productivity across educational institutions makes important progress in that direction. In summary, academic research on the financing, costs, and returns of higher education is more important now than it has ever been. We are pleased to have many of those researchers participating in this conference.
My response is that you do not need to see the words “financial stability” in the Federal Reserve Act for that to be a key part of our mandate. The Federal Reserve’s financial stability mandate is seen in the penumbra of the Federal Reserve Act, and that is legally sufficient. Without trying to cover this important topic exhaustively as in a formal legal opinion or a brief filed with a court, let me outline here the essence of the analysis. The starting point in every discussion of the Federal Reserve’s mandate is Section 2A of the Federal Reserve Act, known to many as the dual mandate. It directs the Federal Reserve “to promote effectively the goals of maximum employment, stable prices, and moderate longterm interest rates.”3 While there are actually three discrete objectives in the dual mandate, most economists would say that moderate long-term interest rates are a tool to produce maximum employment and price stability. Such economic reasoning also involves some clever and simple arithmetic – it reduces a tripartite mandate to a dual mandate. With respect to financial stability, leading economic thinkers would now say, and the financial crisis seems to offer us the perfect illustration, that price stability and maximum employment are possible only in a context of financial stability.

It also involves patrolling the frontiers of our powers and  6  Id. at 483. 7  Dodd Frank Wall Street Reform and Consumer Protection Act, Pub. L. No. 111–203, 124 Stat. 1376 (2010). 8  12 U.S.C. § 5365. 9  12 U.S.C. § 5365(a)(1). 10  12 U.S.C. § 1842 (c)(7). 11  Ben S. Bernanke, Chairman, Board of Governors of the Federal Reserve System, September 18, 2013, Press Conference. BIS central bankers’ speeches  3  recognizing where and when the rule of law forecloses options. This is essential to the credibility of the central bank, a concept closely connected with the public’s trust. To conclude, I hope these remarks about financial stability also reflect on what our legal colleagues have accomplished at the ECB. In this regard, I pay tribute to the leadership of Antonio Sáinz de Vicuña, and to his work not only in presiding at the birth of the euro, but guiding the ECB to take the extraordinary actions necessary to preserve the euro. As President Draghi accurately forecast, they have been enough. Antonio, as you step down as general counsel, I congratulate you on the accomplishment of the mission, and applaud you for a job well done. Thank you, ladies and gentlemen, for your kind attention. Disclaimer: The views expressed are the views of the author and do not necessarily reflect the views of the Federal Reserve Bank of New York, or any component of the Federal Reserve System. 4  BIS central bankers’ speeches