{"id":119386,"date":"2024-01-22T22:29:07","date_gmt":"2024-01-22T21:29:07","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/119386\/"},"modified":"2025-10-22T21:51:46","modified_gmt":"2025-10-22T19:51:46","slug":"a-financial-market-stress-indicator-for-austria","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/119386\/","title":{"rendered":"A financial market stress indicator for Austria"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-119386","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"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.","onlinedate":"2014-08-01 02:00:00","lang":"English","publication_series":"","publication_date":"20140801","publication_date_year":"","publication_date_full":false,"publication_num_pages":"","keywords":"[\"KP_Berichte_Analysen\"]","jelcodes":"[]","related_publications":"[]","pdf":null,"zip":null,"link":"http:\/\/www.springer.com\/10663","monthly_report":false,"monthly_report_main":false,"monthly_report_volume":"41","monthly_report_pages":"481-504","monthly_report_pages_sort":"481","issue":"3","journal":"Empirica","publisher":"","invisible":false,"external":true,"embargo_date":null,"types":[83083],"research_groups":[3500],"collaboration":"","persons":[3543,3641],"persons_data":"[{\"personId\":3543,\"personName\":\"Christian Glocker\",\"organisationNames\":[]},{\"personId\":3641,\"personName\":\"Serguei Kaniovski\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v27.3 (Yoast SEO v27.3) - 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