Inflation and financial stability are pivotal elements in the fields of economics and finance, exerting a profound influence on economic performance and the overall stability of financial systems. The intricate interplay between these factors has garnered significant attention from researchers, policymakers, and market participants due to its far-reaching implications, especially since recent inflationary shocks have put many economies around the world under pressure. This chapter builds an econometric design to estimate a network of volatility connectedness, and an Exponential Random Graph Model (ERGM) is proposed to analyse the structure, capturing both endogenous and exogenous effects on the network. The results show no significant relationship between inflation and financial stress for this set of European countries, shedding light on potential macro-financial vulnerabilities and systemic risks within the European financial system.