samchain/econo-pairs-v1 huggingface dataset:
These dynamics are captured in the simple specification  where  indexes time,  are iid normal shocks and  is the indicator  function taking value 1 when and value otherwise. As reputational concerns disappear, the term goes to zero, leaving simple autoregressive dynamics. But with reputational externalities, productivity shocks become amplified by the credit cycle: a high realisation of in period could push the macro state above the risky policy threshold, at which point the dynamics of begin also to shape the real economy. The distribution of is assumed to have a higher mean and variance than to simulate the effects of the credit boom. In particular, we constrain the distribution of relative to such that expected risk-adjusted fundamentals are constant over time. 10 So we have, in effect, a regime-switching model. When banks play safe strategies, fundamentals are relatively stable. When banks risk up, they create a temporary improvement in expected fundamentals at the cost of greater volatility. This dynamic specification has some interesting properties. First, even small shocks can have disproportionately large effects on fundamentals depending on the initial conditions. In particular, if fundamentals happen to be close to the switching threshold, a further positive shock will lead all firms to coordinate on the high risk-taking strategy. That drives up both the expected value of fundamentals and its volatility. This generates a form of path dependence. Second, credit cycles are endogenous in this framework. As firms coordinate on high risk strategies, this drives up the expected value of fundamentals.

Using the rankings of each correlation in the pooled sample, a normally distributed test statistic is constructed, under the null that the two samples are drawn from the same distribution. 23  Jennrich’s test for the equality of two correlation matrices derives a chi-squared distributed test statistic from transformations of the correlation matrices, including a term correcting for the bounded support ([-1,1]) of the difference between two correlations. The null is equality of the matrices. 18  BIS Review 168/2010  Chart 14 Dispersion of equity returns of major UK banks and top UK 100 PNFCs (by market cap)  Source: CapitalIQ and Bank calculations. Chart 15 Dispersion of ROE of top 10 UK banks and top 10 UK PNFCs (by market cap)  Source: CapitalIQ and Bank calculations. BIS Review 168/2010  19  Chart 16 Cumulative distribution function of cross-country correlations of credit cycles  Source: Bank calculations  Chart 17 Cumulative distribution function of cross-country correlations between medium term GDP cycles  Source: Bank calculations. 20  BIS Review 168/2010  5. Curbing the credit cycle  Taking together the evidence from Sections 2–4, what are the implications for public policy? First, according to the model a credit cycle arises from a collective action failure among banks. The lending decisions banks take, while individually rational, are collectively suboptimal. Specifically, individual banks may fail to internalise the reputational externalities their lending actions impose on others.
Ardian Fullani: Recent economic and financial developments in Albania Speech by Mr Ardian Fullani, Governor of the Bank of Albania, at the Monetary Policy Statement for the second half of 2008, Tirana, 29 February 2009. *  *  *  World economy and the financial system in particular were severely hit in the second half of 2008. The crisis which struck the heart of the global financial system was progressively and relentlessly transmitted to the economic activity of advanced economies leading some of the latter into recession. The Albanian economy has been resilient amid this hitting wave. According to the available official data and judging upon a number of indirect indicators, the Bank of Albania notes that the economic activity throughout the year has by and large performed in line with the early 2008 projections both in terms of economic growth and preservation of macroeconomic balances. The Bank of Albania in particular has met its primary objective mandated by law, contributing to the maintenance of price stability. Average annual inflation rate marked 3.4 percent, which is close to the central bank’s objective. The recent global-scale developments attest to the further economic downturn. Despite the slackening of inflationary pressures as a result of the reduced demand and the slump in basic commodity prices, the tightening of lending standards and the fall in consumption and investment have led to uncertainties related to the duration and intensity of this troublesome situation.

John C Williams: Healthy workforce, healthy economy Remarks (via videoconference) by Mr John C Williams, President and Chief Executive Officer of the Federal Reserve Bank of New York, at Combating Food Insecurity: What’s Working – and What’s Scalable?, 30 November 2021. * * * As prepared for delivery Good morning, and welcome. We are pleased that so many of you have joined us today for this important discussion about food insecurity. It is not lost on me that we are holding this event just five days after Thanksgiving, a holiday that is largely centered around food—the turkey, the stuffing, the mashed potatoes, the pumpkin pie. For some of us, the big concern coming out of the weekend was whether we had eaten too much. But for far too many, the much bigger concern is that they and their families did not—and still do not—have enough to eat. That’s what brings us here today. Our mission at the New York Fed is to make the economy stronger and the financial system more stable for all. But we can’t have a healthy economy without a healthy workforce. And that is why health—along with household financial well-being and climate change—is a focal point for our Community Development team. Before I continue, I must give the standard Fed disclaimer that the views I express are my own and do not necessarily reflect those of the Federal Open Market Committee or anyone else in the Federal Reserve System. Food insecurity has long been a systemic problem.
This method places a strong emphasis on social acceptability coupled with supply-side reforms designed to ensure that the pension system is sustainable. A society like ours that is devoting more resources to welfare payments than it can afford, is saving and investing too little and is spending more than it is earning - while financing these excesses with borrowed money - stands in blatant contradiction with its professed commitment to social justice, because it is bequeathing to its children an inheritance of debt in selfish rejection of the principle of inter-generational equity. This prospect is clearly unacceptable. It is time for all to recognise this and to shoulder what has become a moral responsibility. BIS Review 50/2003  3  Environmental Degradation It is in a similar spirit that I approach another important challenge, namely that of environmental degradation. There is no question that a significant part of our economic achievements in recent years have been attained at the cost of the environment. It is doubtful whether this constitutes real progress, as it is eroding the welfare of current and future generations and depleting the productive potential of an economy that is highly dependent on quality tourism. From a more practical economic viewpoint, environmental sustainability, involving the conservation of existing amenities and resources for an indefinite time period, will entail significant resource outlays. This is in addition to the resources necessary to finance the investment needed to face the competitive pressures of globalisation and to meet the costs of population ageing.

You might recall that in setting out the economic case for membership of the European Union (EU) on this occasion last year, I emphasized that the candidate countries needed to seriously question the way they had managed their economies in the past and to resolve to improve their performance. I warned against underestimating the entity of the task because the necessary changes were pervasive, affecting both institutions and mindsets, policies and work practices, and they also entailed costs. It was this same realization of the difficult challenge implied by EU membership that lay behind the call I made, the day after the referendum result was confirmed at the April general elections, for an early mobilization of all the nation’s resources. It is, therefore, somewhat disappointing that there persists today an insufficient awareness of the profound economic implications of that decision and of the need for all to work hard to secure the benefits of membership. This is all the more surprising given the threat posed by the continuing weakness in our major export markets. The Major Challenges Facing the Maltese Economy It is against this background that I propose to focus attention on four major challenges which I believe must be tackled with urgency if the economy is to return to a higher path of sustainable growth and development.
They are: •  Clause 1: Freedom for the Church. •  Clause 13: Protection for the “ancient liberties” of the City of London. •  Clause 39: No wrongful imprisonment. Perhaps the most famous clause. “No free man shall be seized or imprisoned, or stripped of his rights or possessions, or outlawed or exiled, or deprived of his standing in any way, nor will we proceed with force against him, or send others to do so, except by the lawful judgment of his equals or by the law of the land.”  •  Clause 40: Justice is not for sale. Added to that, the spirit of Clause 12 of the 1215 Magna Carta (dropped from all later reissues), that “no “scutage” or “aid” may be levied in our kingdom without its general consent…”, is clearly what would later become “no taxation without representation”: to establish a council (the embryonic embodiment of what would later become Parliament) to agree whatever new taxes the King might demand. Whatever their purpose at the time, the more universal clauses that remain on the statute book certainly resonate today. They in effect encompass the idea of the rule of law and of due process as a means to ensure justice.

In March, we issued two circulars to all banks in Hong Kong. The first one reminded them to undertake risk assessment and make preparation for the necessary transition. The second one served to clarify that genuine amendments to existing derivatives contracts which are made to give effect to interest rate benchmark reform will not be considered new contracts from the perspective of the HKMA’s margin requirements. This removes one of the uncertainties about the transition. For the time being, we have not specified a timeline for the banks to get ready their transition plan but we will approach them at a later stage to understand their progress and readiness for the transition. HIBOR and HONIA 15. As financial institutions in Hong Kong are gathering pace in their preparation for the LIBOR transition, we are also making progress in identifying an alternative reference rate for HIBOR. We understand market participants are keen to have forward-looking term rates to mirror the structure of HIBOR. Therefore, the HKMA conducted a feasibility study of compiling HKD term rates based on actual wholesale funding transactions by major banks. But the results showed that while transaction-based wholesale term funding rates generally followed term HIBORs, they exhibited a high level of daily volatility, which made them an impractical substitute for term HIBORs. 16. More recently, TMA proposed adopting the Hong Kong Dollar Overnight Index Average (HONIA) as the alternative reference rate for HIBOR. Similar to many alternate reference rates chosen in other currency areas, HONIA is an overnight interbank funding rate.
This lesson had been sorely learned from the Great Depression. The magnitude of the shocks hitting the world economy over the past year or so – as measured for example by the initial contraction in global industrial production – appears comparable with the Great Depression of the 1930s. 1 But, in the Great Depression, global industrial output declined fairly continuously for three full years. In contrast, global industrial output on this occasion seems to have broadly stabilised in a little over a year. There are many differences between now and the 1930s. However, I have little doubt that one of the key factors contributing to the quicker stabilisation of activity this time around has been the speed and decisiveness with which policy throughout the world responded to the twin threats of a failing banking system and falling confidence. At home, the Monetary Policy Committee cut interest rates from 5% to 0.5% in just six months. And with interest rates close to their lower bound, the Committee in March of this year voted to start a programme of asset purchases financed by the issuance of central bank reserves, otherwise known as “quantitative easing”. These extraordinary actions were intended to reduce the risk of inflation falling below the 2% inflation target that the Bank of England is mandated to meet. They do so in a number of ways. The reduction in Bank Rate by lowering interest payments on loans has improved many companies’ cash flows at a time when turnover is weak and working capital is scarce.

Rather, I was conscious that the current stance of monetary policy – in which Bank Rate is very low and substantial amounts of liquidity are being injected into the economy – increases the likelihood that asset prices may move out of line with their fundamental values and that this could be costly to rectify were it to occur. It is a risk that we need to be alert to. However, as I suggested, it is important not to make too much of these differences; all MPC members – myself included – were of the view that a significant degree of monetary stimulus needed to be maintained in order to meet the inflation target. Conclusion The economy has come a long way over the past year. At the time of this annual breakfast a year ago, output was in freefall, the banking system was in near meltdown, business and consumer confidence had evaporated, and there was a very real risk of a serious economic depression. Monetary policy has played a critical role in the stabilisation of the economy. We have turned a corner on the road to recovery. But there is a long way to go with many challenges ahead as the economy moves into better balance. In facing these challenges, the Monetary Policy Committee will do whatever it takes to ensure that inflation remains on track to hit the target. References Eichengreen, B. and K.H. O’Rourke (2009), “A Tale of http://www.voxeu.org/index.php?q=node/3421, 1 September 2009. Two  Depressions”,  Romer, C.D.
In the case of Hong Kong, where the financial industry is so critical to the economy, this obviously carries even more importance. Now, as a survey has found, we are fortunate in Hong Kong to have one of the highest levels of consumer trust in banks and financial services compared to other places.3 But we’ve seen in the financial crisis how fragile trust can be. So we need to guard against complacency, and work towards ensuring that Hong Kong remains a beacon to the rest of the global financial services industry. Whether one is a financial institution, a financial regulator or a consumer, this is in all our interests. So, how do we get there? In short, my argument this morning is that we will do so by recognising the interdependence of these three groups. Each has a role to play, but each also needs the help of the others. And, I would argue, at the heart of this interdependence lies effective consumer protection and education. I would like to discuss briefly each group in turn – first, the role of financial institutions. “The role of financial institutions” As I alluded to just now, financial-services institutions have a direct interest in upholding the reputation of the industry as a whole. I believe success in this regard rests on two pillars. First, nurturing a culture of honesty among practitioners. Second, an absolute commitment to  1  Mr André Laboul, Head of the Financial Affairs Division, OECD and Chairman of the International Network on Financial Education.

Thus, a key component of any efforts to enhancing financial education and protection must be improving individuals’ ability to ask the right questions and increase their awareness that ultimately they are responsible for their investment decisions. BIS central bankers’ speeches  3  “Conclusion” So, we’ve discussed how important consumer protection and education are. And we’ve covered the roles of each of the three groups in bringing about better protection and education. Let me now try to bring these strands all together. Something that became very clear in the wake of the financial crisis was that apparently low-probability risks at the margin of an industry can have profound impacts – and that a rules-based system alone is inadequate in guarding against them. After the crisis, there has been increasing recognition that each of us in fact operates in a financial eco-system – in some respects, a fragile system – in which the well-being of the whole rests on the health and actions of each part. Through suasion and regulation, financial regulators like the HKMA can do a lot to support consumers. But we will always be one step remote from the point of transaction. That’s why we look to banks and other financial institutions not just to follow our rules, but to show leadership by really engaging in this area. Institutions can do a lot, individually and together, to self- and peer-regulate and, above all, ensure integrity throughout their organisations, particularly at the consumer-facing levels.
Given their low levels of productivity relative to the frontier (as represented by US productivity), emerging market economies have enormous scope to raise productivity  BIS central bankers’ speeches  3  through capital deepening and adoption of existing technology and modern production methods. •  In China, for instance, despite substantial gains in the last two decades, the productivity level is only about 15% that of the US. •  In Indonesia and the Philippines, it is only about 10% that in the US  •  With the right policies, these economies can sustain good rates of productivity growth for a few more decades. A fourth factor impacting long-term economic growth is energy. Some of the world’s largest economies – the US, Japan, China, and India – are also among the largest net importers of oil. Cheaper and more plentiful energy is akin to a supply-side boost to these economies. •  The shale gas revolution in the US has markedly reduced its dependence on energy imports and helped to boost industrial competitiveness as energy costs stabilise at a lower level. •  It would be unwise to extrapolate too much from the recent fall in oil prices of over 25% (between July and October this year). But a gentle secular decline in the real price of oil is not an unrealistic assumption that, if true, should be a boon to global economic growth.

•  Market research shows that equity investments in certain advanced economy companies with significant emerging market exposure can indeed enhance portfolio performance. Local presence to serve global interests Even so, there is no substitute for direct investment in emerging market assets. But to understand the performance and risk characteristics of each market requires access to specialist knowledge of political systems, macroeconomic trends, currency conditions, and regulatory and legal frameworks in these countries. Singapore offers a compelling value proposition for government funds seeking a vantage point from which to build knowledge, insights, and partnerships in Emerging Asia. As a premier asset management centre, Singapore offers global funds a gateway to investing in Asia. Asset managers are drawn to Singapore’s strong global and regional links and their growing presence reinforces these links and at the same time enhances the larger financial ecosystem of banks, insurance companies, and the supporting networks of legal, accounting, and technological expertise. The growth in assets under management has in turn helped to draw in more sell-side products, including traditional and alternative assets like real estate and private equity, as well as a wide range of capabilities. Several government funds have set up offices in Singapore to support their research and investments in Asia. They include: •  ICPRC;  •  Norges Bank Investment Management;  •  the Swiss National Bank; and  •  La Caisse de dépôt et placement du Québec. Conclusion Managing money for the long-term is one of the most difficult of human endeavours.
The emerging economies were hardest hit by the previous global crisis in the late 1990s. This time OECD countries were the most severely affected. But Norway seems to have largely escaped the crisis. Overall, output has fallen to a lesser extent in Norway than in other countries and it recovered more quickly. Unemployment has remained low. One might almost believe that Norway was immune to crises and that the country is unique. But this is not the case. It is dangerous to believe that we will be able to manage every crisis as successfully. 2  IMF Country Report No. 10/24, January 2010. Norway: Staff Report for the 2009 Article IV Consultation. BIS Review 15/2010  7  Norway is not unique. We cannot expect driving forces to be as beneficial in the future. Real interest rates cannot be expected to fall. Another sharp boost to export prices is not likely. In addition, Norway’s economy is now vulnerable. Norwegian labour has never been as costly as it is today. Norwegian businesses may be at a disadvantage in tenders and competitions given the current high level of spare capacity in other countries. Moreover, it has never been more profitable to relocate activities abroad. During the upturn, Norwegian firms fared well in spite of high costs thanks to efficiency gains, high turnover volumes and price increases. The cost of Norwegian labour has been very high, but there has been full employment. Markets will be more demanding ahead.

Mugur Isrescu: 50th anniversary of Romania's entry to the circuit of international financial institutions Speech by Mr Mugur Isrescu, Governor of the National Bank of Romania, on the occasion of 50 years since Romania joined the International Monetary Fund and the World Bank, Bucharest, 31 January 2023. *** Distinguished audience, In December 1972, Romania joined the International Bank for Reconstruction and Development (World Bank) and the International Monetary Fund (IMF). At that time, Romania was the first – and remained until 1989- the only country from the Treaty of Warsaw and COMECON (Council for Mutual Economic Assistance) that had entered the circuit of international financial institutions. To mark this anniversary, the National Bank of Romania has launched into circulation, for numismatic purposes, a silver coin. The obverse of the coin depicts the Old Palace of the National Bank of Romania, the inscription "ROMANIA" in a circular arc, the coat of arms of Romania, the face value "10 LEI" and the year of issue "2022". The reverse of the silver coin has the logos of the International Monetary Fund and the World Bank and the inscriptions in Romanian "ROMANIA'S ACCESSION TO THE INTERNATIONAL MONETARY FUND AND THE WORLD BANK" and "50 YEARS".