Empirica

, Volume 41, Issue 3, pp 481–504

A financial market stress indicator for Austria

Original Paper

DOI: 10.1007/s10663-014-9246-2

Cite this article as:
Glocker, C. & Kaniovski, S. Empirica (2014) 41: 481. doi:10.1007/s10663-014-9246-2
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Abstract

This paper develops a financial market stress indicator based on monthly data reflecting the functioning and stability of Austria’s financial system. We aggregate individual time series in a composite indicator using principle component analysis and identify episodes of heightened financial stress since 2000. We highlight the quantitative importance of macrofinancial linkages by modeling the co-movement of the indicator and industrial production. The estimates from two nonlinear models reveal the presence of threshold effects in the transmission of financial market stress to economic activity in Austria.

Keywords

Financial market stress indicator Macrofinancial linkages Threshold effects 

JEL Classification

E44 G01 G10 G20 

Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  1. 1.Austrian Institute of Economic ResearchViennaAustria