samchain/econo-pairs-v1 huggingface dataset:
Scheibehenne, B and Broder, A (2007), “Predicting Wimbledon 2005 tennis results by mere player name recognition”, International Journal of Forecasting (3), pp 415–426. Selten, R (2001), “What is bounded rationality?” In G. Gigerenzer & R. Selten (Eds. ), “Bounded rationality: The adaptive toolbox”, pp 13–36, Cambridge, MIT Press. Serwe, S and Frings, C (2006), “Who will win Wimbledon? The recognition heuristic in predicting sports events”, Journal of Behavioral Decision Making, 19, pp 321–332. Simon, H A (1972), “The Sciences of the Artificial”, MIT Press. Simon, H A (1956), “Rational Choice and the Structure of the Environment”, Psychological Review, 63 (2), pp 129–138. Snook, B, Zito, M, Bennell, C and Taylor, P J (2005), “On the Complexity and Accuracy of Geographic Profiling Strategies”, Journal of Quantitative Criminology, Vol. 21, No. 1, March. von Neumann, J and Morgenstern, O (1944), “Theory of games and economic behaviour”, Princeton University Press. Wang, G, Grone, B, Colas, D, Appelbaum, L and Mourrain, P (2011), “Synaptic plasticity in sleep: learning, homeostasis and disease”, Trends in Neurosciences. Weitzman, M (1974), “Prices versus Quantities”, Review of Economic Studies, 41(4), pp 477–91. Wilde, O (1893), “Lady Windermere’s Fan”, J W Luce. 22  BIS central bankers’ speeches  Wübben, M and von Wangenheim, F (2008), “Instant customer base analysis: managerial heuristics often “get it right”“, Journal of Marketing, 72, pp 82–93.

Source: Capital IQ, SNL, published accounts, Laeven and Valencia (2010) and Bank calculations. (***) Denotes null hypothesis of mean equality rejected at the 1% significance level. (a)  The classification of bank distress is based on Laeven and Valencia (2010), updated to reflect failure or government intervention since August 2009. (a)  The classification of bank distress is based on Laeven and Valencia (2010), updated to reflect failure or government intervention since August 2009. (b)  For the purposes of the leverage ratio calculation, total assets have been adjusted on a best-efforts basis to achieve comparability between institutions reporting under US GAAP and IFRS. (b)  Total assets have been adjusted on a best-efforts basis to achieve comparability between institutions reporting under US GAAP and IFRS. Chart 6: Risk-based capital ratios of FDIC-insured banks, end-2006  (a)  Source: FDIC and Bank calculations. (a)  Sample has been truncated to remove outlier observations with very large risk-based capital ratios. BIS central bankers’ speeches  29  (a)  Chart 7: Leverage ratios of FDIC-insured banks, end-2006  Source: FDIC and Bank calculations. (a)  Sample has been truncated to remove outlier observations with very large leverage ratios. Chart 8: In- and out-of-sample performance of different models of bank risk (100 (a)(b)(c) observations)  Source: FDIC and Bank calculations. (a)  Different models estimated using 10,000 random samples of 100 observations each. Samples are rejected if there are no observations of bank failure. The different models are used to predict bank failure for approximately 4,300 banks out-of-sample.
Arnór Sighvatsson: Capital controls, fiscal policy and economic recovery Address by Mr Arnór Sighvatsson, Deputy Governor of the Central Bank of Iceland, at a morning meeting of the Iceland Chamber of Commerce, Reykjavík, 24 March 2010. *  *  *  Ladies and gentlemen, At the eleventh hour, just prior to the collapse of the banking system, it did not remotely occur to me that signing exemptions from rules significantly restricting the rights of residents to trade in foreign currency could become one of my responsibilities. Admittedly, it had been mentioned on several occasions, in meetings with foreign bankers and investors during the weeks and months leading up to the collapse, that they were of the opinion that capital account restrictions were among the conceivable measures that Icelandic authorities could apply in the dire straits into which the Icelandic economy was clearly headed. When I was asked whether capital controls could be considered, in the difficult situation that had arisen, I naturally replied in the negative, with reference to the international agreements Iceland had signed – any other answer would have been risky. Even less did it occur to me that the IMF would endorse capital controls as a key factor in an economic strategy for the reconstruction of Iceland’s financial system and economy, as the Fund has often been criticised for encouraging premature removal of capital controls in many countries around the world. The capital controls are controversial. Other routes were considered but eventually rejected as too risky.

The negative impact of capital controls is likely to be greater the longer they last and the more lenient their enforcement is. The aim, therefore, is to remove the controls as soon as it is safe, while enforcing them very strictly, not least during the liberalisation phase. If it is unavoidable and desirable to lift the controls, how can this be accomplished without risking exchange rate instability? The strategy presented by the Central Bank last summer describes the principal aspects of the liberalisation process. While I do not intend to repeat what it says on this occasion, I would like to take the opportunity to point out that resolving the problems of Treasury financing is actually a precondition for renewed progress in economic recovery and for relaxing the capital controls without substantial risk. During the period of overheating leading up to the financial crisis, the non-tradable sector expanded far beyond what export sector growth could sustain for the long term. In many cases, production capacity in the non-tradable sector is excessive over the short to medium term. Hence the scope for economic recovery led by the non-tradable goods sector is scant; recovery must mainly commence in the tradable goods sector. Export growth will be weak, however, unless export companies have ready access to external financing. But their access to foreign capital markets will be difficult until the Treasury has blazed a trail, or as long as it faces terms that raise doubts about the sustainability of public debt.
Speeches  Published Date: 29 April 2021  "Inflation & Expectations" - Opening Remarks by Mr Edward S Robinson, Deputy Managing Director (Economic Policy) & Chief Economist, Monetary Authority of Singapore, at the Seminar on Inflation and Cost of Living in Singapore and Asia on 29 April 2021 Introduction 1. Thank you for inviting the MAS to join this virtual webinar and live discussion on “Inflation and Cost of Living”, a joint initiative of the Sim Kee Boon Institute for Financial Economics, the IMF Institute and DBS Bank. It is encouraging that academia, industry and an intergovernmental organisation have come together on an important issue of common concern. 2. I recall launching the Singapore Index of Inflation Expectations or SInDEx, as it was known then at SMU in January 2012, and it is heartening to see it nurtured over the past decade. The MAS is grateful to the SKBI for its commitment to this project and to DBS for its generous sponsorship of the DBS-SKBI-SMU Singapore Index of Inflation Expectations, that counts among the key indicators that MAS looks at in its economic surveillance. 3. My comments are in two parts. First, I will make some broad observations on the somewhat complex inflation dynamics that confront us since the onset of COVID-19. Second, I intend to reiterate the important role that expectations play in driving the behaviour of key macroeconomic phenomena, including inflation.

These include the slope of the Phillips Curve, central bank’s policy responses together with the constraints imposed by elevated public debt levels, and importantly, agents’ expectations. Expectations in Macroeconomics 12. This brings me to my second set of comments. One of the truly revolutionary developments in macroeconomic analysis has been the recognition that expectations are central to the behaviour of agents. Most of us would probably reach back to at least Keynes’ General Theory, as marking its formal induction into general equilibrium macroeconomics. The theory and practice of macroeconomic expectations has evolved quite rapidly since then. In particular, Robert Shiller and George Akerlof were key figures in formalising the idea that changes in expectations may manifest as exogenous shocks rather than factor in endogenously as posited by the theory of rational expectations, thus giving analytical form to Keynes' “animal spirits” in macroeconomic research. [3] 13. More recently, Shiller and Akerlof have also led a revival in the interest of expectations in economics [4] . Placing a modern contextualisation to “animal spirits”, they describe it as “a restless and inconsistent element in the economy. It refers to our peculiar relationship with ambiguity or uncertainty. Sometimes we are paralyzed by it. Yet at other times it refreshes and energizes us, overcoming our fears and indecisions.” I think we can quite easily relate to such descriptions. We have seen the importance of expectations in determining aggregate outcomes during crisis, as well as in specific markets and cycles.
This is precisely why, the role played by data labs, such as the BELab of the Banco de España, is of paramount importance. Our BELab has been created with the aim of providing the research community with greater access to high-quality microdata, in a controlled environment that ensures data confidentiality, through on-site or remote means, depending on the sensitivity level of the data. In any case, although there has been some progress, the truth is that Spain is still lagging behind this global trend that is a genuine “data revolution”. To change the situation in Spain it is crucial to make citizens and governments aware that there is a cost to restrictions on access to data by the research community, as they will eventually result in less effective public policies. I trust that discussions of the papers to be presented at the conference over the next two days will bring us up to speed with the most advanced practices across the globe. Thank you very much and enjoy the sessions! 2

BIS central bankers’ speeches  3  which maintains the size of the portfolio and adjusts the asset type and maturity composition of its holdings. 8 Large-scale asset purchases as a policy tool and their execution Of course, as this audience knows well, the Federal Reserve was not the first major central bank to use alternative tools for monetary policy implementation at the zero lower bound. The quantitative easing policy (QEP) that the Bank of Japan (BoJ) initiated to combat deflation in 2001, after operating for some time under a policy of zero interest rates, provided a valuable precedent when central bankers elsewhere faced similar challenges later that decade. However, the balance sheet expansion under the BoJ’s original quantitative easing differed significantly from the asset purchase programs undertaken by advanced economy central banks over recent years, including the BoJ’s current quantitative and qualitative monetary easing (QQE). The earlier QEP was a liability-driven program in which the BoJ changed its operating objective from an overnight interest rate to quantitative targets for the level of current account balances outstanding at the BoJ (the counterpart to reserve balances held by depository institutions at the Fed). To achieve its new target, the BoJ provided ample liquidity through a range of operations. Although the BoJ increased its outright purchases of long-term government bonds as part of this initiative, a large share of the easing was accomplished through temporary open market operations or purchases of short-term securities.
Indeed, circuit-breakers played an important role in stalling the Flash Crash. In the face of pass-theparcel algorithmic dynamics, the Chicago Mercantile Exchange imposed an automatic 5-second pause on trading in its S&P 500 E-mini futures contracts. 32 It worked, providing time for human traders to take stock – and, as importantly, buy stock. The rationale for such rules is well-understood. They temporarily impose a minimum execution time on trading, T. By calling a halt to trading, circuit-breakers provide a means of establishing a level informational playing field for all traders, long and short, fast and slow. In other words, they help solve the asymmetric information (risk and uncertainty) problem across traders of different types. The changing topology of trading, both speed and structure, has made these informational frictions more acute. So the case for circuit-breakers is perhaps stronger now than in the past. Circuit-breakers are also a means of heading-off suicidal spiralling, when algorithms join hands and chase each other over a cliff edge, as during the Flash Crash. Because they are automatic, circuit-breakers allow time for human intervention to catch-up with, and forestall, machine (summary) execution. They close the gap between man and machine, if only temporarily. Because HFT has widened this gap, the case for deploying circuit-breakers is stronger now than in the past. Historically, circuit-breaking rules have been security or exchange-specific. But in a world of multiple exchanges, and increasingly correlated securities, rules of this type may not be restrictive enough. Contagion across securities and exchanges has become the rule.

That is what we appear, increasingly, to find in financial market prices in practice, whether in volatility and correlation or in fat tails and persistence. This change in price dynamics will in turn influence market-making behaviour. Consider the problem facing an HFT market-maker. They face inventory risk from market fluctuations and information risk from adverse selection. Pricing these risks means forming a guess about the future path of prices. The greater the potential range of future prices, the larger the insurance premium they will demand. The future price range (maximum – minimum) for a price series at some future date T, R(T), can be written generically as: 20 (1) where κ is a constant and σT is the standard deviation of the process up to time T. H is our old friend the Hurst coefficient, dredged up from the Nile; it can be thought to summarise the degree of fat-tailedness and persistence in prices. When the holding period is short (say T=1), as with HFT, the future price range is the volatility of the series magnified by the Hurst coefficient. In other words, the fatter and more persistent the tails (H), the greater the market risk and the wider the bid-ask spread of the HFT. This has implications for the dynamics of bid-ask spreads, and hence liquidity, among HFT firms. During a market crash, the volatility of prices (σ) is likely to spike. From equation (1), fractality heightens the risk-sensitivity of HFT bid-ask spreads to such a volatility event.
We welcomed the reduction of the near-term peak in inflation which will result from the Energy Price Guarantee but noted that the additional support it is providing to households will add to demand pressure. My September vote was informed by three particular aspects of what I’ve set out for you today. First the greater certainty we have about household spending, because of the greater support to demand being provided by the Energy Price Guarantee. Second the trends I’ve observed in domestically generated inflation, including in labour costs, in firms’ pricing and in the broadening out in inflationary pressures with services price inflation now contributing more to overall CPI inflation. And third, higher medium-term inflation expectations and the risk that a more inflationary mentality takes hold throughout the economy. In my view a faster policy tightening at the last MPC meeting would have helped to bring inflation back to the 2% target sustainably in the medium term and would reduce the risks of a more extended and costly tightening later. Our November decision and latest forecasts will be published in just under four weeks time. In the intervening period we will be seeking answers to a range of questions to inform our assessment of how quickly inflation will return to target in the medium term.

For me questions include: is there any evidence that the tight labour market is easing; what is the revised outlook for demand in view of the Government’s fiscal announcements; are domestically generated inflation pressures consistent with returning inflation to the 2 per cent target; and what do financial market developments tell us. The MPC was clear in its language in September that should the outlook suggest more persistent inflationary pressures, including from stronger demand, the Committee would respond forcefully as necessary. In the context of the developments I’ve set out for you, today I think the central question for all nine of us on the MPC is how forceful do we need to be, to ensure inflation does return sustainably to the 2% target in the medium term. These are very challenging times for the UK economy and millions of households and businesses are experiencing real hardship as a result of the cost of living crisis. On the MPC we are acutely conscious that for many our monetary policy actions are adding to the difficulties caused by the current situation. We know from past periods in our history the damage to households and businesses that would result if high inflation persisted. Unlike earlier inflationary episodes, where we saw more persistence in inflation caused by ineffective policy and policy frameworks, this time we have a monetary policy framework which empowers us to take action.
At the same time, an independent status for the Riksbank calls for more in the way of accountability. It will be even more important that monetary policy decisions are anchored - at the political level as well as among a broader public - by means of clear motivation and an open dialogue. Decisions to adjust the interest rate tend to affect both households and firms very directly and specifically. It is therefore vital to gain an understanding for our execution of monetary policy. In recent years the Riksbank has done a great deal to promote an increased understanding of what we do. This work must continue. One instance of transparency is the clear focus on the 2 per cent inflation target. In that this target and our tolerance interval of 1 percentage point are clearly specified, the Riksbank’s operations are open to assessment. Our policy involves adjusting the instrumental interest rate - the repo rate - to a level that we judge to be in accordance with the inflation target. Experience tells us that a change in the short interest rate has its full impact on inflation after a time lag of one to two years. Consequently, the Riksbank has to operate in a relatively long time perspective - the interest rate has to be set in the light of forecasts of what the rate of inflation will be one to two years ahead. Our assessments of future inflation are presented continuously in speeches and various publications, above all the quarterly inflation reports.

Our assessment is that growth in 1997 will amount to approximately 2 per cent, followed by 3 per cent in 1998. BIS Review 68/1997  -4-  Inflation in line with the target The path of inflation largely depends on growth in relation to the economy’s long-term potential output - in other words on how the gap between actual and potential output changes - as well as on the inflation expectations of different economic agents. The Riksbank considers that 5 per cent growth in the coming years is compatible with low inflation, mainly because in general the economy has plenty of unutilised capacity. In other words the output gap, which is affected by, for example, the labour market situation, is not expected to close in the coming years. Structural changes and increased competition in several fields suggest that the Swedish economy’s inflation propensity has fallen. Deregulation has been carried out in transport and communications, for instance, and to some extent in the food sector. EU membership has had positive effects for competition in Sweden, partly via increased competition from imports. The new competition laws have also helped to strengthen competition. Changes of this type, as everyone knows, are positive in that they pave the way for lower consumer prices. Another consequence that is less evident and therefore worth underscoring is that, in so far as the changes affect the outlook for inflation, they can provide room for a somewhat less tight monetary stance.
The consequence of the crisis is therefore not only that the supervision of banks has shifted from the national level in the euro area to a European level, but also that supervision has changed in its basic approach and in what is expected of it and the supervised entities. •  The SSM has allowed us to start afresh in our relationship with banks. It has broken with traditions and customs that were often no longer being questioned. Supervisory teams from different countries see the banks with fresh eyes and on the basis of their common experience. This creates the necessary critical distance for sensible supervision. •  Banking supervision in Europe should take tough but fair action (the emphasis being on “action”). European supervision, the SSM, sees itself as a supervisor which identifies and addresses risks at an early stage, and thus contributes to ensuring that the banking system is able to function properly. A light touch and reactive supervision should belong to the past. •  European supervision should create a level playing field. That is why the first thing that we developed in the SSM was a consistent supervisory approach with a consistent methodology for assessing banks’ risks and governance structures, as well as their equity capital and liquidity positions. •  For the supervision of systemically relevant and large, internationally active banks in particular, the SSM represents a quantum leap forward.

Depending on its design, such a rule book would either be permanently outdated and incomplete, because legislators cannot keep up with the rapid pace of innovation within the financial sector with meticulous regulation, or would have to regulate so rigidly that it would impose excessive restrictions on the functioning of the financial system. As is often the case, the most sensible option is in the middle. We need regulation based on principles which adapts to changes in banking and we need a supervisory authority that is capable taking action. Allow me to elaborate. •  Good regulations must be adaptable. They must be just as applicable to different business models as they are to different sizes of institution – they must fit large and small institutions alike. Good regulations must adapt to changing circumstances without legislators having continually to improve on them. Accordingly, the rules must provide room for discretion in individual cases. •  Good regulations must, however, also ensure a minimum level of planning and legal certainty for banks; that is the only way in which banks operate properly and provide their financial services over the long term. This holds particularly true of Europe, where banks play a greater role in financing the real economy than the capital markets.