IDEAS home Printed from https://ideas.repec.org/a/kap/empiri/v41y2014i3p481-504.html
   My bibliography  Save this article

A financial market stress indicator for Austria

Author

Listed:
  • Christian Glocker
  • Serguei Kaniovski

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. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Christian Glocker & Serguei Kaniovski, 2014. "A financial market stress indicator for Austria," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(3), pages 481-504, August.
    • Handle: RePEc:kap:empiri:v:41:y:2014:i:3:p:481-504
    DOI: 10.1007/s10663-014-9246-2
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10663-014-9246-2
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10663-014-9246-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393, Elsevier.
    2. Ricardo J. Caballero & Arvind Krishnamurthy, 2008. "Collective Risk Management in a Flight to Quality Episode," Journal of Finance, American Finance Association, vol. 63(5), pages 2195-2230, October.
    3. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
    4. Gary Gorton, 2008. "The panic of 2007," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 131-262.
    5. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    6. R. Glenn Hubbard, 1991. "Financial Markets and Financial Crises," NBER Books, National Bureau of Economic Research, Inc, number glen91-1, March.
    7. Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Working Papers 0030, University of Washington, Department of Economics.
    8. Frederic S. Mishkin, 1991. "Asymmetric Information and Financial Crises: A Historical Perspective," NBER Chapters, in: Financial Markets and Financial Crises, pages 69-108, National Bureau of Economic Research, Inc.
    9. Gary Gorton, 2008. "The panic of 2007," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 131-262.
    10. Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 98(1), pages 85-106.
    11. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    12. Scott Brave & R. Andrew Butters, 2010. "Gathering insights on the forest from the trees: a new metric for financial conditions," Working Paper Series WP-2010-07, Federal Reserve Bank of Chicago.
    13. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
    14. Scott Brave & R. Andrew Butters, 2011. "Monitoring financial stability: a financial conditions index approach," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 35(Q I), pages 22-43.
    15. Franz R. Hahn, 2006. "Ertragsentwicklung und Wettbewerbsbedingungen im österreichischen Bankensektor," WIFO Monatsberichte (monthly reports), WIFO, vol. 79(9), pages 665-677, September.
    16. Illing, Mark & Liu, Ying, 2006. "Measuring financial stress in a developed country: An application to Canada," Journal of Financial Stability, Elsevier, vol. 2(3), pages 243-265, October.
    17. Arvind Krishnamurthy, 2010. "How Debt Markets Have Malfunctioned in the Crisis," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 3-28, Winter.
    18. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
    19. repec:ecb:ecbwps:20111426 is not listed on IDEAS
    20. Kevin L. Kliesen & Douglas C. Smith, 2010. "Measuring financial market stress," Economic Synopses, Federal Reserve Bank of St. Louis.
    21. Franz R. Hahn, 2006. "Effizienz der österreichischen Banken. Eine Best-Practice-Analyse," WIFO Monatsberichte (monthly reports), WIFO, vol. 79(11), pages 795-804, November.
    22. John Geanakoplos & Ana Fostel, 2008. "Leverage Cycles and the Anxious Economy," American Economic Review, American Economic Association, vol. 98(4), pages 1211-1244, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Christian Glocker & Philipp Wegmueller, 2020. "Business cycle dating and forecasting with real-time Swiss GDP data," Empirical Economics, Springer, vol. 58(1), pages 73-105, January.
    2. Christian Glocker & Serguei Kaniovski, 2022. "Macroeconometric forecasting using a cluster of dynamic factor models," Empirical Economics, Springer, vol. 63(1), pages 43-91, July.
    3. Glocker, Christian & Url, Thomas, 2022. "Financial sector rescue programs: Domestic and cross border effects," Journal of International Money and Finance, Elsevier, vol. 127(C).
    4. Marcus Scheiblecker & Christian Glocker & Serguei Kaniovski & Atanas Pekanov, 2018. "Der Beitrag der Finanzmarktinterventionen des Bundes über die HETA Abwicklungsgesellschaft zur Stabilisierung des österreichischen Finanzmarktes," WIFO Studies, WIFO, number 60979, February.
    5. Glocker, Christian & Kaniovski, Serguei, 2020. "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper 101874, University Library of Munich, Germany.
    6. Marcin Borsuk & Konrad Kostrzewa, 2020. "Miary ryzyka systemowego dla Polski. Jak ryzyko systemowe wpływa na akcję kredytową banków?," Bank i Kredyt, Narodowy Bank Polski, vol. 51(3), pages 211-238.
    7. Glocker, C., 2021. "Reserve requirements and financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    8. Glocker, Christian, 2019. "Do reserve requirements reduce the risk of bank failure?," MPRA Paper 95634, University Library of Munich, Germany.
    9. Christian Glocker & Werner Hölzl, 2015. "Bestimmung einer Konjunkturampel für Österreich auf Basis des WIFO-Konjunkturtests," WIFO Monatsberichte (monthly reports), WIFO, vol. 88(3), pages 175-183, March.
    10. Christian Glocker & Werner Hölzl, 2019. "Assessing the Economic Content of Direct and Indirect Business Uncertainty Measures," WIFO Working Papers 576, WIFO.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Craig S. Hakkio & William R. Keeton, 2009. "Financial stress: what is it, how can it be measured, and why does it matter?," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q II), pages 5-50.
    2. Ricardo J Caballero, 2010. "Sudden Financial Arrest," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 58(1), pages 6-36, August.
    3. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
    4. Marcus Scheiblecker & Christian Glocker & Serguei Kaniovski & Atanas Pekanov, 2018. "Der Beitrag der Finanzmarktinterventionen des Bundes über die HETA Abwicklungsgesellschaft zur Stabilisierung des österreichischen Finanzmarktes," WIFO Studies, WIFO, number 60979, February.
    5. Arvind Krishnamurthy, 2010. "Amplification Mechanisms in Liquidity Crises," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 1-30, July.
    6. Willi Semmler & Stefan Mittnik, 2012. "Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR," EcoMod2012 4122, EcoMod.
    7. Willi Semmler, 2011. "Asset Prices, Booms and Recessions," Springer Books, Springer, number 978-3-642-20680-1, November.
    8. Haddou, Samira, 2022. "International financial stress spillovers to bank lending: Do internal characteristics matter?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    9. Björn Roye, 2014. "Financial stress and economic activity in Germany," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 101-126, February.
    10. Galo Nuño & Carlos Thomas, 2017. "Bank Leverage Cycles," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(2), pages 32-72, April.
    11. Oet, Mikhail V. & Bianco, Timothy & Gramlich, Dieter & Ong, Stephen J., 2013. "SAFE: An early warning system for systemic banking risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4510-4533.
    12. Charles W. Calomiris, 2008. "The subprime turmoil: what’s old, what’s new, and what’s next," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 19-110.
    13. Arvind Krishnamurthy, 2010. "How Debt Markets Have Malfunctioned in the Crisis," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 3-28, Winter.
    14. Favara, Giovanni & Gao, Janet & Giannetti, Mariassunta, 2021. "Uncertainty, access to debt, and firm precautionary behavior," Journal of Financial Economics, Elsevier, vol. 141(2), pages 436-453.
    15. Kappler, Marcus & Schleer, Frauke, 2017. "A financially stressed euro area," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-37.
    16. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
    17. Stefan Mittnik & Willi Semmler, 2011. "The Instability of the Banking Sector and Macrodynamics: Theory and Empirics," DEGIT Conference Papers c016_080, DEGIT, Dynamics, Economic Growth, and International Trade.
    18. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
    19. Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020. "A financial stress index for a highly dollarized developing country : The case of Lebanon," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
    20. Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2023. "The Impact of Risk Cycles on Business Cycles: A Historical View," The Review of Financial Studies, Society for Financial Studies, vol. 36(7), pages 2922-2961.

    More about this item

    Keywords

    Financial market stress indicator; Macrofinancial linkages; Threshold effects; E44; G01; G10; G20;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:empiri:v:41:y:2014:i:3:p:481-504. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.