CoVaR

Author(s): Adrian, Tobias; Brunnermeier, Markus K

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DC Field	Value	Language
dc.contributor.author	Adrian, Tobias	-
dc.contributor.author	Brunnermeier, Markus K	-
dc.date.accessioned	2019-12-04T18:58:49Z	-
dc.date.available	2019-12-04T18:58:49Z	-
dc.date.issued	2016-07	en_US
dc.identifier.citation	Adrian, Tobias, Brunnermeier, Markus K. (2016). CoVaR. American Economic Review, 106 (7), 1705 - 1741. doi:10.1257/aer.20120555	en_US
dc.identifier.issn	0002-8282	-
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/pr1mj2t	-
dc.description.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.	en_US
dc.format.extent	1705 - 1741	en_US
dc.language.iso	en	en_US
dc.relation.ispartof	American Economic Review	en_US
dc.rights	Final published version. Article is made available in OAR by the publisher's permission or policy.	en_US
dc.title	CoVaR	en_US
dc.type	Journal Article	en_US
dc.identifier.doi	doi:10.1257/aer.20120555	-
pu.type.symplectic	http://www.symplectic.co.uk/publications/atom-terms/1.0/journal-article	en_US

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