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A financial market stress indicator for Austria

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  • 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
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    Citations

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    Cited by:

    1. Glocker, C., 2021. "Reserve requirements and financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    2. 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.
    3. Christian Glocker & Serguei Kaniovski, 2022. "Macroeconometric forecasting using a cluster of dynamic factor models," Empirical Economics, Springer, vol. 63(1), pages 43-91, July.
    4. Glocker, Christian, 2019. "Do reserve requirements reduce the risk of bank failure?," MPRA Paper 95634, University Library of Munich, Germany.
    5. Glocker, Christian & Url, Thomas, 2022. "Financial sector rescue programs: Domestic and cross border effects," Journal of International Money and Finance, Elsevier, vol. 127(C).
    6. Christian Glocker & Werner Hölzl, 2019. "Assessing the Economic Content of Direct and Indirect Business Uncertainty Measures," WIFO Working Papers 576, WIFO.
    7. Glocker, Christian & Kaniovski, Serguei, 2020. "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper 101874, University Library of Munich, Germany.
    8. 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.
    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. 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, August.

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    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

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