2  See ECB (2009), Financial Stability Review, Special Feature B for a discussion on the concept of systemic risk. 3  For an overview, see Bisias, D., M. Flood, A. W. Lo and S. Valavanis (2012), “A Survey of Systemic Risk Analytics”, Office of Financial Research Working Paper No. 0001, January. 4  Hollo, D., M. Kremer and M. Lo Duca (2012) “A Composite Indicator of Systemic Stress in the financial system”, ECB Working Paper No. 1426, March. BIS central bankers’ speeches  1  short-term interest rate) in a MS-VAR, to illustrate the dynamic interaction of systemic financial instability and the macroeconomy in the euro area. 5 CATFIN, a VAR and Expected Shortfall measure at system-wide level calculated with non-normal distributions with fat tails, showing the predictive capacity of financial volatility regarding real economic downturns was proposed by Allen et al. 6 Similarly, Giglio et al. examine 19 measures of systemic risk for the US and 10 measures for the UK and the EU from the perspective of how well they forecast macroeconomic downturns. 7 They also build dimension-reduced risk indexes using principal components and partial quantile regression to demonstrate the robust performance of some indexes in anticipating future macroeconomic downturns. These efforts in developing composite indexes are complementary to the on-going research on the concept of a financial cycle as a sort of a generalisation of the old concept of credit cycle, distinct from the concept of the economic or business cycle. The ECB paper presented this morning by Hiebert et al.
See also Ampudia, M., H. van Vlokhoven and D. Żochowski, (2016), “Financial fragility of euro area households”, Journal of Financial Stability, forthcoming; see also: ECB Working Paper Series No. 1737. 17  For details, see the Household Finance and Consumption Network webpage, https://www.ecb.europa.eu/pub/economic-research/research-networks/html/researcher_hfcn.en.html. 6  BIS central bankers’ speeches  remarks. Since March this year, the ECB started publishing a Macroprudential Bulletin 18 that will inform about the analytical work being done, the policy decisions adopted and assessed, as well as analysis of relevant regulatory developments. This will further contribute to enhance transparency in our assessments. We look forward to maintaining a lively dialogue with the community of people in official institutions, in the financial sector and in academia who are interested in the new important field of macroprudential policy. Thank you for your attention. This is the full text of a speech delivered in abridged form at the ECB on 26 April. 18  ECB Macroprudential Bulletin, (2016), Issue 1: http://www.ecb.europa.eu/pub/pdf/other/ecbmpbu201603.en.pdf?f584ec27e20fd378bdca2d6f68d5d7b9. BIS central bankers’ speeches  7