Composite Indicator of Systemic Stress
The ECB's daily measure of stress across five segments, the money, bond, equity and currency markets and financial intermediaries, from 0 (none) to 1 (stress everywhere at once).
The CISS aggregates fifteen stress measures from five market segments and weights them by their time-varying correlation, so it rises most when stress appears in several markets together, which is what makes stress systemic. Values above about 0.3 have marked the episodes of 2008, 2011 and 2020.
On this site
- CISS systemic stress Eurozone 0.01 Normal