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RAPPORT

A new financial stability risk index to predict the near-term risk of recession

The real economy repercussions of financial crises are the ultimate focus of financial stability monitoring and policymakers.

Prepared by Andrea Deghi, Peter Welz and Dawid Zochowski

Published as part of the Financial Stability Review May 2018.

The real economy repercussions of financial crises are the ultimate focus of financial stability monitoring and policymakers. By extending a standard set of financial stability indicators with indicators capturing spillover and contagion risks, this special feature proposes a financial stability risk index (FSRI) that has predictive power for the near-term risk of deep recessions. It is shown that the empirical performance of the index benefits from combining a large set of macro-financial indicators and, notably, that the information content of the spillover and contagion risk indicators is important.

 

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