Assessing the effectiveness of financial market interventions by the Austrian federal government

The project aim is to develop a daily financial market stress indicator, which reflects the dynamics and stability of the Austrian financial market. The indicator will be estimated as a latent factor in multivariate time series models. The project also aims to build up a comprehensive database of Austrian policy interventions in response to the financial market crisis of 2008-09. Where possible, the database should contain qualitative and quantitative information on national measures. In addition, the EU Crises data set of ECB and ESRB will be used as a data source for interventions at EU level. A series of multivariate time series models will be used to assess the impact of stabilisation policies on financial market stress in Austria, also considering measures taken at the EU level.