Macroeconomic and financial market variables

The selected macro variables are considered relevant and suitable as potential explanatory variables for the build-up of both cyclical and structural systemic risks. The listed variables aim to capture different kinds of risks that can emerge in different segments of the financial system both on a national and European level (i.e. euro area as well as the EU), such as: 

• Macroeconomic risk, addressed by indicators such as: Inflation rate, GDP growth, money supply, unemployment rate;
• Macroeconomic imbalances, addressed by indicators such as: Current account balance, target2 balance;
• Sovereign risk, addressed by indicators such as: CDS on government bonds, government debt, government deficit;
• Competitiveness risk, addressed by indicators such as: Real effective exchange rate, unit labour cost;
• Market risk, addressed by indicators such as: Stock market indices, stock market volatility, exchange rate volatility, government bond yields, corporate bond yields;
• Credit risk, addressed by indicators such as: Interbank interest rate spreads of unsecured and secured lending;

The list of indicators, together with the underlying SDW codes and indicators calculations, can be accessed via the following catalogue:

Macroeconomic and financial market variables catalogue