Replication data for: CoVaR

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Project Citation:

Adrian, Tobias, and Brunnermeier, Markus K. Replication data for: CoVaR. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112877V1

Project Description

Summary: CoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict CoVaR. We also provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk, and show that the 2006:IV value of this measure would have predicted more than one-third of realized CoVaR during the 2007-2009 financial crisis.

Scope of Project

JEL Classification:
      C58 Financial Econometrics
      E32 Business Fluctuations; Cycles
      G01 Financial Crises
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G17 Financial Forecasting and Simulation
      G20 Financial Institutions and Services: General
      G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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Published Versions

V1 [2019-10-11]

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