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:KP_Berichte_Analysen
Forschungsbereich:Makroökonomie und öffentliche Finanzen