Bank of Italy paper presents new financial stress indicator
New model identifies financial stresses missed by others, authors say
A working paper published by the Bank of Italy presents a new model for spotting financial stress in the Italian economy.
In An indicator of macro-financial stress for Italy, Arianna Miglietta and Fabrizio Venditti present a model that aggregates information from five major segments of the financial system. They use data from the markets for money, bonds, equities, foreign exchange and the stocks of financial intermediaries.
Their index builds on the methodology of the “composite indicator of
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