No. 1007 - A composite indicator of systemic risk related to the Italian financial cycle
This paper proposes a composite indicator of systemic risk, constructed as a weighted average of several indicators specific to the Italian financial cycle (cyclical risk indicator, CRI). These indicators, as well as their respective weights, are selected on the basis of their ability to signal forthcoming episodes of financial stress or severe contractions in economic activity.
The CRI provides additional information beyond that contained in the individual indicators on which it is based. In particular, it proves to be a better predictor of potential systemic risk episodes than the deviation of the credit-to-GDP ratio from its long-term trend ('credit-to-GDP gap'), especially when the imbalances that generate or amplify such episodes are driven by factors other than excessive credit growth.
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21 April 2026
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