A Risk Dashboard for the Italian Economy

38 Pages Posted: 17 Apr 2018

Date Written: February 27, 2018

Abstract

In this paper we describe an analytical framework to assess financial stability risks in the Italian economy. We use a large number of indicators, selected to take into account the peculiarities of the Italian economy, to monitor risks in seven areas: interlinkages, the credit markets, the macroeconomic environment, funding conditions, the financial markets, and the banking and insurance sectors. Based on thresholds selected on the basis of either expert judgment or historical distributions, we construct risk heatmaps and derive aggregate scores for each of the above risk categories. By providing timely information on the buildup of risks, the proposed dashboard usefully complements other analytical tools currently used for developing and implementing macroprudential policy.

Keywords: early warning indicators, financial stability risks, heatmaps, macroprudential policy

JEL Classification: G12, G21, G23, G28

Suggested Citation

Columba, Francesco and Venditti, Fabrizio and Sorrentino, Alberto Maria, A Risk Dashboard for the Italian Economy (February 27, 2018). Bank of Italy Occasional Paper No. 425, Available at SSRN: https://ssrn.com/abstract=3160804 or http://dx.doi.org/10.2139/ssrn.3160804

Francesco Columba

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy
+39-06-47922131 (Phone)
+39-09-47923611 (Fax)

Fabrizio Venditti

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy

Alberto Maria Sorrentino (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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