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metadata language: English

Replication data for: CoVaR

Version
V0
Resource Type
Dataset
Creator
  • Adrian, Tobias
  • Brunnermeier, Markus K.
Publication Date
2015-12-31
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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.20120555 (Text)
Publications
  • Adrian, Tobias, and Markus K. Brunnermeier. “CoVaR.” American Economic Review 106, no. 7 (July 2016): 1705–41. https://doi.org/10.1257/aer.20120555.
    • ID: 10.1257/aer.20120555 (DOI)

Update Metadata: 2020-02-22 | Issue Number: 2 | Registration Date: 2019-10-12

Adrian, Tobias; Brunnermeier, Markus K. (2015): Replication data for: CoVaR. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112877