The objective of this paper is to provide a survey on the role of financial factors in
macroeconometric models for policy simulation. We first describe how the failure of existing models to predict the financial crises and characterize its transmission mechanisms has led to important advances in mainstream modelling approach, with a prominent role assigned to financial
intermediation. We then use the lens of a Stock-Flow Consistent model developed at the Italian Department of Treasury to illustrate the centrality of sectoral balance sheets in this approach and assess its ability to capture some of the patterns observed during the financial crisis. Our discussion
is made taking as reference the criticisms posed to DSGE modelling after both the subprime loans and Euro-area sovereign debt crises.