This study aims to examine the causal and long-term effects of domestic finance, political risks, and global risk on domestic economic risk in QISMUT countries, namely Qatar, Indonesia, Saudi Arabia, Malaysia, UAE, and Turkey, covering the period of 1997Q1 to 2015Q2. The study used the threshold cointegration test, which involves Gregory and Hansen Cointegration and Hatemi-J Cointegration tests. The tests endogenously combined possible regime shifts in the long-run relationship of the underlying variables. Our results reveal (i) the presence of cointegration among the time series variables with endogenous structural breaks. The linear Toda-Yamamoto causality and nonlinear-Diks and Panchenko and Hatemi-J-causality test shows (ii) changes in domestic financial risk significantly lead to changes in economic risk in the QISMUT countries; (iii) domestic political risk causes economic risk in Indonesia, Qatar, Saudi Arabia, UAE; (iv) global risk affects significantly on economic risk in Saudi Arabia, Turkey, and UAE. Critical policy intervention could include governors in the QISMUT countries should control financial stability indicators such as domestic and foreign debts, exchange rate, and liquidity problems to control macroeconomic dynamics in their respective markets.