American Economic Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
CoVaR
American Economic Review
vol. 106,
no. 7, July 2016
(pp. 1705–41)
Abstract
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.Citation
Adrian, Tobias, and Markus K. Brunnermeier. 2016. "CoVaR." American Economic Review, 106 (7): 1705–41. DOI: 10.1257/aer.20120555Additional Materials
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