No. 1076 - Macrofinancial uncertainty in Italy: measurement and implications for financial stability
This paper examines how to measure uncertainty surrounding economic and financial market developments in Italy ('macrofinancial uncertainty') and assesses whether it can be used to identify potential risks to financial stability. It compares the properties of different uncertainty indicators, which are then combined into a single composite measure that can serve as a tool to support risk assessment.
The different uncertainty indicators considered do not always provide the same signals, and some are more informative than others about potential risks. Overall, uncertainty tends to increase during periods of crisis and in response to exogenous shocks. The paper shows that unexpected increases in the composite measure of macrofinancial uncertainty are associated with weaker output, employment and bank credit, as well as heightened financial stress.
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12 November 2026
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