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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.
Publication Date: Jul-2016
Citation: Adrian, Tobias, Brunnermeier, Markus K. (2016). CoVaR. American Economic Review, 106 (7), 1705 - 1741. doi:10.1257/aer.20120555
DOI: doi:10.1257/aer.20120555
ISSN: 0002-8282
Pages: 1705 - 1741
Type of Material: Journal Article
Journal/Proceeding Title: American Economic Review
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

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