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The Bank of England industry dataset

The Bank of England industry dataset

We rely on the employer-based surveys for head counts of number of people employed by industry. We use the New Earnings Survey (NES), also employer-based, for hours per worker, by industry. An alternative source for hours worked and also for qualifications is the Labour Force Survey (LFS), which is a survey of households. From our point of view, this suffers from two major drawbacks: first, the LFS goes back only to 1984; second, the distribution of the labour force across industries revealed by this survey matches very poorly with that given by the employer-based surveys. The employer-based surveys are considered the more reliable in this respect. However, the LFS is generally considered to give the best estimate of aggregate employment and hours worked. The NES also provides data on sex, age and occupation and we have tried to use these data to provide estimates of quality change at the industry level. Unfortunately, we have found that the NES provides a poor basis for this purpose: when the results are aggregated up to the whole economy level, we find them to be inconsistent with what we know from other sources (the LFS). So our indices in practice are just hours worked, ie an unweighted sum of hours worked by workers of different types. But we have made two aggregate level adjustments to the industry estimates. The first is to make the growth of aggregate hours consistent with the measure derived from the LFS (ONS code: YBUS). The second is to make use of an index of quality change constructed by colleagues in the Bank of England (Burriel- Llombart and Jones (2003)). Their index is for the whole economy and is a Törnqvist one
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Cultural change in the FCA, PRA & Bank of England: Practising what they preach?

Cultural change in the FCA, PRA & Bank of England: Practising what they preach?

Senior Managers Regime. The Bank intends to apply the core principles of the Senior Managers Regime (SMR) to its own senior managers. In line with PRA rules the principles of the SMR will apply primarily to the Governor and Deputy Governors, the Chair of Court, and members of Court who chair certain operational committees. The Bank will map how the Bank’s responsibilities are discharged, and allocate responsibilities to individual senior managers. These maps will be published. It will also describe and publish its governance structure. The Bank will also ‘take a rigorous approach to senior managers’ suitability including having a ‘robust’ appointments process, assessing ongoing suitability of senior executives for their role annually and improving the induction package to ensure that new senior managers fully understand their responsibilities. Governance of the Bank of England. The Bank’s Court of Directors acts as a unitary board, setting the organisation’s strategy and budget and taking key decisions on resourcing and appointments. Required to meet a minimum seven times per year, it has four executive members from the Bank and up to nine non- executive members. Subject to the activities which are reserved by statute for the MPC, FPC and PRA Board, Court is responsible for managing the Bank’s business, and where appropriate it may delegate as it sees fi t. The Court has a majority of independent non-executive members and an independent non-executive Chairman. Non-executive members of the Bank’s Court also regularly met without executive members, both informally and in the form of the Oversight Committee of the Court and have the right to commission reviews into the Bank’s performance. The Oversight Committee has been abolished and the number of non-executive members on the Court is being reduced from nine to seven.
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Why the transfer of bank supervisory powers back to the Bank of England is a step in the right direction: Revisiting the role of external auditors in bank and financial services supervision

Why the transfer of bank supervisory powers back to the Bank of England is a step in the right direction: Revisiting the role of external auditors in bank and financial services supervision

As well as developing better links with the market and consumers, the FSA has also required early warning indicators – indicators which its predecessor, the Bank of England was possibly better equipped with. 16 So who could have helped to provide some solutions to the gap left as a result of the Bank of England's reduced involvement in the banking supervisory process? Whilst external auditors cannot provide early warning signals or perform market surveillance in the same capacity as central banks or regulators, they have valuable and vital third party knowledge of firms and the FSA would benefit immensely by exploiting such priceless expertise and knowledge. As a result, the external auditor could provide vital information and perform numerous specialised tasks at an individual firm level – if not at an industry level. 17
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Disciplinary action. 29 October 2008 Communication from Bank of England

Disciplinary action. 29 October 2008 Communication from Bank of England

Subsequent research by the New York Federal Reserve staff members concluded that banks LIBOR quotes were systematically below their borrowing rates by 39 basis points after the Lehman bankruptcy. Barclays own submissions for tenors of 1 month to 1 year LIBOR were higher than actual Barclays trades on 97% of the occasions when Barclays had actual trades during the financial crisis.  Barclays also raised concerns with the FSA, the Bank of England and the US

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The development of the role of the Bank of England as a Lender of Last Resort, 1870-1914

The development of the role of the Bank of England as a Lender of Last Resort, 1870-1914

CHAPTER EIGHT: MORAL SUASION AND THE IMPACT OF THE BANK OF ENGLAND GOVERNOR ON BANK POLICY Page 1: Introduction 366 2: Moral Suasion - Methods of Influencing the Markets 367 2.1: Contemp[r]

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What do outside experts bring to a committee? : evidence from the Bank of England

What do outside experts bring to a committee? : evidence from the Bank of England

With the end of my term approaching, I have given considerable thought to whether I should be a candidate for re-appointment. I have come to the conclusion that both the appearance and the substance of independence of the external members of the MPC are best served by restricting their membership to a single term - three years as envisaged in the Bank of England Act 1998. Whether or not this letter swayed Brown’s decision is unclear, but he did not reappoint a single external member from the original group, even though they included some of the most prominent macroeconomists in the UK. A clear precedent was set that the government would be reluctant to reappoint external members. By February 2003 this view was again modified due to the reappointment of Stephen Nickell. Since then, Kate Barker has been reappointed twice, and Andrew Sentance has been reappointed once.
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The Bank of England, Prudential Regulation Authority The PRA’s approach to banking supervision

The Bank of England, Prudential Regulation Authority The PRA’s approach to banking supervision

The PRA will also engage with the boards and senior management of firms in forming its decisions, using this dialogue both to ensure that it takes account of all relevant information in reaching its judgements, and to communicate clearly the rationale for them. Firms should not, however, approach their relationship with the PRA as a negotiation. The PRA’s regulatory decision-making will be rigorous and well documented, consistent with public law. Its most significant supervisory judgements will be taken by its Board — comprising the Governor of the Bank of England, the Deputy Governor for Financial Stability, the Chief Executive Officer of the PRA, and the independent non-executive members of the Board. The PRA Board will be involved in the most important decisions on general policy and individual cases. The Board will, of course, be accountable to Parliament, in the same way as are the Monetary Policy Committee and Financial Policy Committee, the Bank’s other statutory decision-making bodies.
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Till Time's Last Sand: A History of the Bank of England 1694 2013

Till Time's Last Sand: A History of the Bank of England 1694 2013

Indeed, although the book is in many ways admirable and interesting, I am not sure how well it hits its general reader target. Let me first summarise the book and then the two perspectives from which I can read it, before setting out what I see as good and what I think less good. (There is nothing I think to be bad.) There is a prologue on the motives behind, and early discussion of the need for, a Bank of England. Part one then covers the years 1694–1815, a period containing many excitements beyond the bank’s foundation; part two the years to the outbreak of the First World War. Part three carries us on to 1946; and finally part four takes us to 1997. There is then a postscript, written without access to the Bank’s archives, on the run up to and events of the financial crisis which started in 2007 and whose effects are still being felt not just in Britain but around the world.
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Uncertainty and disagreement in economic prediction: the Bank of England Survey of External Forecasters

Uncertainty and disagreement in economic prediction: the Bank of England Survey of External Forecasters

Lambros (1987), updated and extended by Giordani and Soderlind (2003) and Rich and Tracy (2006); the relationship between inflation uncertainty and real interest rates (Lahiri, Teigland and Zaporowski, 1988; Batchelor and Dua, 1996), the latter authors also comparing the direct measure of inflation uncertainty with various proxies used in empirical studies; and the relationship between uncertainty and the equity premium puzzle in the consumption-based asset pricing model (Giordani and Soderlind, 2006). Recently the Bank of England has likewise agreed to make available the anonymised individual SEF responses, and a first analysis of these is presented in this article. We look forward to a similarly wide range of applications based on UK data in due course, although the available time series are as yet relatively short.
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BANK OF ENGLAND COMPELS BANKS ON TRANSPARENCY. Author: Dave Colling

BANK OF ENGLAND COMPELS BANKS ON TRANSPARENCY. Author: Dave Colling

In November 2010, The Bank of England (BoE) published detailed requirements and reporting templates for loan-level reporting of residential mortgage portfolios, mortgage-backed securities (RMBS) and covered bonds. The Bank also stated that it will be publishing criteria and reporting templates for other loan asset types during 2011. Since April 2011, the BoE has broadened the range of eligible collateral for its DWF to include high-quality, whole- loan portfolios. Lenders that want to draw funding against loan portfolios under the DWF must now preposition such

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The collateral frameworks of the Eurosystem, the Federal Reserve System and the Bank of England and the financial market turmoil

The collateral frameworks of the Eurosystem, the Federal Reserve System and the Bank of England and the financial market turmoil

Prior to the fi nancial market turmoil, there was a general consensus that there is no one optimal way to implement monetary policy and that a central bank’s operational and collateral framework is shaped by the specifi c internal and external circumstances that the central bank faces. This paper has showed how external factors, such as legal constraints, the depth of a country’s capital markets and the structure of its banking system can signifi cantly affect the design of a central bank’s collateral and operational framework. It has also illustrated how internal decisions by the central bank, such as whether to primarily supply liquidity to the banking sector through outright or temporary operations and whether to differentiate collateral according to the type of operation, can also have an important impact on the collateral framework. The interaction between these external and internal factors resulted in the Eurosystem, the Federal Reserve and the Bank of England having very different operational and collateral frameworks in the period prior to the crisis. In fact, the Eurosystem and the Federal Reserve’s frameworks were different in almost every respect, in terms of the range of eligible counterparties, the type of eligible collateral, the size of the temporary versus outright operations and the emphasis placed on achieving market neutrality. Despite these differences, all three central banks were able to implement monetary policy in a highly effective way during the pre-crisis period.
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A new sterling money market data collection and the reform of SONIA: public consultation. Published by the Bank of England, July 2015

A new sterling money market data collection and the reform of SONIA: public consultation. Published by the Bank of England, July 2015

In order to secure and improve the information available to it on conditions in sterling money markets, the Bank intends to collect transaction-level data from banks, building societies and major investment firms on their secured and unsecured sterling money market borrowing activity. Data will be collected using the Bank’s power to obtain information under the Bank of England Act 1998. This information will provide the Bank with a better understanding of developments in short-term interest rates, benefiting the Bank’s analysis of both monetary and financial conditions. It will also provide a richer picture of activity in the sterling money market, enabling the Bank to better assess overall market effectiveness.
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Where It All Began: Lending of Last Resort and Bank of England Monitoring During the Overend-Gurney Panic of 1866

Where It All Began: Lending of Last Resort and Bank of England Monitoring During the Overend-Gurney Panic of 1866

The National Monetary Commission produced four reports on the English banking system. 3 There were two books. One was an already published book due to an Austrian scholar, Eugen Von Phillippovich, now translated from German (Phillippovich 1910). It was devoted to the historical evolution of the relations between the Bank of England and the State. The other was a joint volume, with contributions of varied lengths by a number of City experts (Withers et al. 1910). And there were two pamphlets. The first was due to Jacobs (1910), and the other was the already mentioned contribution by Warburg (1910). The reports by Jacobs and Warburg were superlative on the beauties of the European system, but they were concise. The contribution by the City writers also lacked detail. Withers dealt with “the merchant bankers and accepting houses” in less than five pages, although there was laid manifestly the secret of making fire. 4 A characteristic of most reports submitted to the National Monetary Commission is that they generally abstracted from more tedious microstructure aspects. 5 This omission is intriguing. It may have reflected an English antipathy for detail. But a lot of relevant information was concealed that way. We fail to understand why American counterparts were content with material that was so general it could hardly serve as the basis of a blueprint for monetary design. This conflicts with the National Monetary Commission’s mission to inspire the creation of a market and new instruments – a mission that would succeed or fail on microeconomic cleverness, not on abstract principles.
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FINANCIAL SECTOR ASSESSMENT PROGRAM REVIEW OF THE BANK OF ENGLAND S LIQUIDITY PROVISION FRAMEWORK TECHNICAL NOTE

FINANCIAL SECTOR ASSESSMENT PROGRAM REVIEW OF THE BANK OF ENGLAND S LIQUIDITY PROVISION FRAMEWORK TECHNICAL NOTE

The Bank of England’s (BoE’s) Sterling Monetary Framework (SMF) is the mechanism used in the U.K. to direct liquidity provision. This includes the tools required to implement monetary policy; those required to backstop sterling liquidity needs of individual institutions and the overall system (termed “liquidity insurance”); and the tools required to support the proper functioning of markets—Market Maker of Last Resort (MMLR). This technical note reviews all aspects of the SMF, given that the components of the SMF are heavily interconnected. It also reviews the Bank’s approach to Emergency Liquidity Assistance (ELA), a broad, largely unpublished framework for bilateral idiosyncratic liquidity support that lies outside the SMF and encompasses all other liquidity provision activities, including lending in foreign exchange.
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Central banks and short term interest rates: Bank of England operations in the sterling money market

Central banks and short term interest rates: Bank of England operations in the sterling money market

A num ber of points emerged from this historical examination which use­ fully complemented my research on contemporary money m arkets and central bank operations. These are incorporated in chapters 1 and 2. First, there was a remarkable continuity in the Bank of England’s money m arket oper­ ations, whose basic structure was already in place by 1825. Second, many other central banks operated in more or less the same way: th a t is, they provided reserves to the banking system, on demand, by standing ready to discount eligible short-term securities. These stylised facts pointed to several - not entirely unknown - shortcomings in the economic literature on central bank operating procedures. For example, the common description of central bank operations as interest-rate “smoothing” was clearly overly simplistic and seemed to ignore the fact th at central banks had already begun to use their discount rates as an instrum ent to pursue their objectives. Similarly, many of the proponents of money base control - and there are always proponents - somehow seemed to overlook the fact th a t early central banks had essentially tried, and had failed, to set strict quantitative limits on the supply of bank reserves. Indeed, part of the reason why they became central banks in the first place was th at the banking system was potentially unstable in the face of limits on the supply of reserves.
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Evaluating a three dimensional panel of point forecasts : the Bank of England survey of external forecasters

Evaluating a three dimensional panel of point forecasts : the Bank of England survey of external forecasters

The general difficulty of forecast construction and evaluation in the face of data revisions is well appreciated in the forecasting literature (for a recent survey see Croushore, 2006). The specific difficulties facing the Monetary Policy Committee with respect to recent revisions in UK GDP data are highlighted in two boxes in the August 2005 issue of the Bank of England Inflation Report. If it is thought that the revised data are closer to the truth, and that they should be the forecaster’s objective, then the difficulty is in deciding where to start, since the current initial conditions will be subject to revision. This led the MPC to widen substantially the uncertainty bands around the current-quarter and next-quarter forecasts of GDP growth from August 2005, and to publish backcasts and nowcasts of GDP growth, with uncertainty bands, from August 2007.
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Simulating Mine Revenues with Historical Gold Price Data from the Bank of England

Simulating Mine Revenues with Historical Gold Price Data from the Bank of England

This paper demonstrates a simulation method using historical prices for gold over a 40-year period. The simulation method can be used to assess variability in a mine plan. In this example, I use monthly gold data from the Bank of England. The total sample size is approximately 450 monthly data points, from which I consider 11 different continuous subsamples with length 100. Some of these blocks of data are overlap, but they are all different. For each block of data, I preform various calculations for a hypothetical mine plan that produces one ounce of gold per month. I report undiscounted total revenue over the 100-month period with real prices
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Decade of dissent: explaining the dissent voting behavior of Bank of England MPC members

Decade of dissent: explaining the dissent voting behavior of Bank of England MPC members

Under sequential voting (the practice currently enjoyed by MPC members) the presence of career concerns may also have consequences for voting outcomes, a view espoused in the herding literature. If committee members simply echo the choice of the first member to declare her view, not only might a “false consensus will be achieved” and members’ information wasted (Scharfstein and Stein, 1990, pp.477-478), but internal members may simply ‘follow the leader’, falling in line with the Governor who frames the policy question on which MPC members vote. For this reason, the UK government has aired views to the effect that it would prefer MPC members to vote simultaneously. We do not model this scenario in this paper. (Response of the Government to the Report of the House of Lords Select Committee on the Monetary Policy Committee of the Bank of England, HL Paper 34, Session 2000-01.)
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Bank of England Interest Rate Announcements and the Foreign Exchange Market

Bank of England Interest Rate Announcements and the Foreign Exchange Market

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate announcement surprises the market. Intraday, five-minute return data are then used to provide a microscopic view. We use a Markov-switching framework that incorporates endogenous transition probabilities, which allows for an interesting alternative characterization of macroeconomic news effects on the foreign exchange market. We find evidence for non- linear regime switching between a high-volatility, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to affect the probability that the market enters and remains within the informed trading regime, with some limited market positioning just prior to the announcement.
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Principles of crisis management revisited: the Bank of England in the 1970s

Principles of crisis management revisited: the Bank of England in the 1970s

Weil hypothesizes that the puzzle - whether framed in terms of equity or risk-free misalignment - is due to simplifying assumptions including the representative agent and Arrow-Debreu markets. Furthermore, the low risk-free rate can be explained to a large extent by introducing heterogeneity between agents and differentiation between individual and aggregate consumption. The puzzle has not yet been fully resolved, however, and for our purposes here it is arguably best to keep the risk-free rate at empirically observed long-term values with added robustness checks to follow. While complications such as this may result in additional doubts regarding the applicability of the model for the valuation of the Bank’s services to the Big Four, it also highlights the complexity of the problem itself and demonstrates the importance of thinking how to price these and other financial stability instruments. Any private institution would think long and hard before insuring such an uncertain, but po- tentially extremely costly, service and would in all likelihood charge an uncertainty premium and prudential fees before doing so. While a public institution such as the Bank of England might want to provide the service on other terms than a private party would, it should be as wary about the costs as the private party would be before pricing and providing it.
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