Financial instability and economic activity

Abstract: We estimate new indices measuring financial and economic (in)stability in Austria and in the euro area. Instead of estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in)stability, where our methodological approach is based on the uncertainty index of Jurado, Ludvigson and Ng (2015). We perform an impulse response analysis in a vector error correction framework, where we focus on the impact of uncertainty shocks on industrial production, employment and the stock market. We and that financial uncertainty shows a strong significantly negative impact on the stock market, for both Austria and the euro area, while economic uncertainty shows a strong significantly negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits of uncertainty indicators for forecasting industrial production, employment and the stock market, using different forecast performance me

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource, 57 S.
• Language: Englisch
• Notes: Veröffentlichungsversion ; begutachtet

References and Relationships

• Bibliographic citation: IHS Working Paper ; Bd. 36

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Mannheim
• (who): SSOAR, GESIS – Leibniz-Institut für Sozialwissenschaften e.V.
• (when): 2021
• Event: Veröffentlichung
• (where): Wien
• (who): Institut für Höhere Studien (IHS), Wien
• (when): 2021
• Creator: Fortin, Ines ; Hlouskova, Jaroslava ; Sögner, Leopold
• Contributor: Institut für Höhere Studien (IHS), Wien

Further information

• URN: urn:nbn:de:0168-ssoar-76836-1
• Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 15.08.2025, 7:38 AM CEST